Christoph Hartz, Stefan Mittnik, Marc Paolella. Accurate value-at-risk forecasting based on the normal-GARCH model. Computational Statistics & Data Analysis, 51(4):2295-2312, 2006. [doi]
@article{HartzMP06,
title = {Accurate value-at-risk forecasting based on the normal-GARCH model},
author = {Christoph Hartz and Stefan Mittnik and Marc Paolella},
year = {2006},
doi = {10.1016/j.csda.2006.09.017},
url = {http://dx.doi.org/10.1016/j.csda.2006.09.017},
tags = {rule-based},
researchr = {https://researchr.org/publication/HartzMP06},
cites = {0},
citedby = {0},
journal = {Computational Statistics & Data Analysis},
volume = {51},
number = {4},
pages = {2295-2312},
}