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On time-scaling of risk and the square-root-of-time rule · Study

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ArticleOn time-scaling of risk and the square-root-of-time rule

Jón Danı́elsson2006

OA

Articlegreen2006

On time-scaling of risk and the square-root-of-time rule

Jón Danı́elsson · Jean‐Pierre Zigrand

129 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Probability and Risk Models

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1971Optimum consumption and portfolio rules in a continuous-time model 1980On estimating the expected return on the market 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2000Post-'87 crash fears in the S&P 500 futures option market 2001Value at Risk 1980On Estimating the Expected Return on the Market: An Exploratory Investigation

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2015Forecasting volatility with empirical similarity and Google Trends 2009Diversification and Value-at-Risk 2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles 2015Commodity futures hedging, risk aversion and the hedging horizon 2011Value-at-Risk models and Basel capital charges 2020Rocking the Boat: How Relative Performance Evaluation Affects Corporate Risk Taking

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Details

Year2006

Typearticle

Published2006-02-22

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations129

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2005.10.002

openalex_workW3121601698

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2013Measuring Market Risk Under the Basel Accords: VaR, Stressed VaR, and Expected Shortfall

2012Market crises and Basel capital requirements: Could Basel III have been different? Evidence from Portugal, Ireland, Greece and Spain (PIGS)