On time-scaling of risk and the square-root-of-time rule

131 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Evaluating Value-at-Risk Models via Quantile Regression (2008, background): “Daníelsson et al. (2005) and Ibragimov and Walden (2007) showed that for continuous random variables either VaR is coherent and satisfies subadditivity or the first moment of the investigated variable does not exist.”