Jiangze Du

Jiangxi University of Finance and Economics - School of Finance

South Lushan Road

Nanchang, Jiangxi 330013

China

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Scholarly Papers (1)

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Measuring Long-Term Tail Risk: Evaluating the Performance of the Square-Root-of-Time Rule

Journal of Empirical Finance, Vol. 47, 2018
Number of pages: 36 Posted: 17 May 2019
Jying-Nan Wang, Jiangze Du and Yuan-Teng Hsu
Minghsin University of Science and Technology, Jiangxi University of Finance and Economics - School of Finance and Shanghai Business School
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Abstract:

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Value at risk, Square-root-of-time rule, Serial dependence, Heavy-tail