The paper uses a volatility model that allows for stochastic volatility of volatility. The problem is crucial to understand and model unconditional non-normality of returns. Implications for financial risks are important due to the assumptions of normality that are generally made in practtioners models. Such implications are discussed in the paper.
Statistical benefits of value-at-risk with long memory
BELTRATTI, ANDREA;
2005
Abstract
The paper uses a volatility model that allows for stochastic volatility of volatility. The problem is crucial to understand and model unconditional non-normality of returns. Implications for financial risks are important due to the assumptions of normality that are generally made in practtioners models. Such implications are discussed in the paper.
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