Journal of Financial Econometrics

3 companion websites

How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes

Journal of Financial Econometrics (2004)

Calvet Laurent E. and Fisher Adlai J.

Backtesting Value-at-Risk: A Duration-Based Approach

Journal of Financial Econometrics (2004)

Christoffersen Peter and Pelletier Denis

Backtesting Value-at-Risk: A GMM Duration-based Test

Journal of Financial Econometrics (2011)

Candelon Bertrand, Colletaz Gilbert, Hurlin Christophe, and Tokpavi Sessi