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Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process

Published Online: 2021-08-06

Published Print: 2022-01

Authors

Frezza, Massimiliano

Bianchi, Sergio https://orcid.org/0000-0002-5574-6008
Pianese, Augusto
Funding

Funding for this research was provided by:

Università degli Studi di Roma La Sapienza
License Information

Text and Data Mining valid from 2021-08-06

Version of Record valid from 2021-08-06
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Article History

Received: 30 January 2020

Accepted: 2 July 2021

First Online: 6 August 2021

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