• Estimating Value At Risk 

      Lu, Zudi; Huang, Hai; Gerlach, Richard
      Published 2010-01-01
      Significantly driven by JP Morgan's RiskMetrics system with EWMA (exponentially weighted moving average) forecasting technique, value-at-risk (VaR) has turned to be a popular measure of the degree of various risks in ...
      Open Access
      Working Paper