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Number of items: 9.

Article

Alexander, C. and Lazar, E. and Stanescu, S. (2013) Forecasting VaR using Analytic Higher Moments for GARCH Processes. International Review of Financial Analysis, 30 . pp. 36-45. ISSN 1057-5219. (In press) (The full text of this publication is not available from this repository)

Monograph

Alexander, C. and Lazar, E. and Stanescu, S. (2011) Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL. Working paper. ICMA Centre Discussion Papers in Finance, Reading (The full text of this publication is not available from this repository)

Alexander, C. and Lazar, E. and Stanescu, S. (2011) Analytic Moments for GARCH Processes. Working paper. ICMA Centre Discussion Papers in Finance , Reading 10.2139/ssrn.1702623. (The full text of this publication is not available from this repository)

Conference or workshop item

Alexander, C. and Lazar, E. and Stanescu, S. (2012) Analytic Moments For GARCH Processes. In: Bachelier Finance Society 7th World Congress – Sydney, Australia. (Unpublished) (The full text of this publication is not available from this repository)

Alexander, C. and Lazar, E. and Stanescu, S. (2011) Analytic Approximations To GARCH Aggregated Returns Distributions With Applications To VaR and ETL. In: Proceedings of the 18th Forecasting Financial Markets Conference, 25th, 26th, 27th May 2011, Marseille, France. (The full text of this publication is not available from this repository)

Stanescu, S. and Alexander, C. and Lazar, E. (2009) Analytic Moments For Conditional And Aggregated GARCH Variances And Returns. In: Society For Financial Econometrics (SOFIE) 2nd Annual Conference, 10th, 11th, 12th June 2009, Geneva, Switzerland. (Unpublished) (The full text of this publication is not available from this repository)

Stanescu, S. and Alexander, C. and Lazar, E. (2009) Analytic Moments For Conditional And Aggregated GARCH Variances And Returns. In: Society for Nonlinear Dynamics and Econometrics (SNDE) 17th Annual Symposium, 16th, 17th April 2009, Atlanta, USA. (Unpublished) (The full text of this publication is not available from this repository)

Stanescu, S. and Alexander, C. and Lazar, E. (2008) Analytic Moments For Conditional And Aggregated GARCH Variances And Returns. In: Forecasting Financial Markets 15th Conference, 21st, 22nd, 23rd May, 2008, Aix-en-Provence, France. (Unpublished) (The full text of this publication is not available from this repository)

Stanescu, S. and Alexander, C. and Lazar, E. (2008) Analytic Approximations To VaR In a GARCH Framework. In: IX Workshop on Quantitative Finance, 24th - 25th January 2008, Rome, Italy. (Unpublished) (The full text of this publication is not available from this repository)

This list was generated on Mon Jun 9 08:03:53 2014 BST.