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Use of Nonlinear Volatility Models in Value at Risk

Program

Fulbright Visiting Scholar Program

Program Country

Grant Activity Type

Research

Discipline

Academic Year

Flex

No

Scholar type

Non-U.S. (Visiting) Scholar

Project Title

Use of Nonlinear Volatility Models in Value at Risk

Scholar Information

Grantee

Dick Van Dijk

Title

Researcher

Institution

Erasmus University of Rotterdam

Department

Department of Econometrics, Tinbergen Institute

Host Institutions

Institution

University of Chicago

Faculty

Dr. Ruey Tsay

Host Department

Graduate School of Business