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Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations

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  • Wu, Ping-Tsung
  • Shieh, Shwu-Jane

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  • Wu, Ping-Tsung & Shieh, Shwu-Jane, 2007. "Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 248-259, March.
    • Handle: RePEc:eee:empfin:v:14:y:2007:i:2:p:248-259
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    1. Pierre Giot & Sébastien Laurent, 2003. "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663.
    2. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    3. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    4. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
    5. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
    6. Bollerslev, Tim & Jubinski, Dan, 1999. "Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 9-21, January.
    7. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
    8. Yu Chuan Huang & Bor-Jing Lin, 2004. "Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations," Review of Quantitative Finance and Accounting, Springer, vol. 22(2), pages 79-95, March.
    9. Michel Beine & Sebastien Laurent & Christelle Lecourt, 2002. "Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 12(8), pages 589-600.
    10. Feinstone, Lauren J, 1987. "Minute to Minute: Efficiency, Normality, and Randomness in Intra-daily Asset Prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 2(3), pages 193-214, July.
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