Dr Stavros Degiannakis and Dr Christos Floros acknowledge the support from the European Community's Seventh Framework Programme (FP7-PEOPLE-IEF) funded under grant agreement No. PIEF-GA-2009-237022. We would like to thank two anonymous referees for their constructive criticism and suggestions which helped us to improve the scope and clarity of the paper.
A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification
Version of Record online: 6 DEC 2012
© 2012 The Authors. The Manchester School © 2012 The University of Manchester and John Wiley & Sons Ltd
The Manchester School
Volume 82, Issue 1, pages 71–102, January 2014
How to Cite
Degiannakis, S., Dent, P. and Floros, C. (2014), A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification. The Manchester School, 82: 71–102. doi: 10.1111/manc.12001
- Issue online: 17 DEC 2013
- Version of Record online: 6 DEC 2012
- Manuscript Accepted: 23 MAR 2012
- Manuscript Received: 31 MAY 2011
- European Community. Grant Number: PIEF-GA-2009-237022
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