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@inproceedings{1139115,
author = {Svoboda, Martin and Reuse, Svend},
address = {Ostrava},
booktitle = {Finanční řízení podniků a finančních institucí. 9th International Scientific Conference Proceedings Part II.},
edition = {1},
editor = {Ing. Miroslav Čulík, Ph.D.},
keywords = {VaR; square-root-of-time rule; risk; autocorrelation; historical simulation},
howpublished = {tištěná verze "print"},
language = {eng},
location = {Ostrava},
isbn = {978-80-248-3172-5},
pages = {699-708},
publisher = {VŠB - Technical university of Ostrava, Faculty of Economics, Finance Department},
title = {Does the Square-root-of-time Rule lead to adequate Values in the Risk Management? - an actual Analysis},
year = {2013}
}
TY - JOUR
ID - 1139115
AU - Svoboda, Martin - Reuse, Svend
PY - 2013
TI - Does the Square-root-of-time Rule lead to adequate Values in the Risk Management? - an actual Analysis
PB - VŠB - Technical university of Ostrava, Faculty of Economics, Finance Department
CY - Ostrava
SN - 9788024831725
KW - VaR
KW - square-root-of-time rule
KW - risk
KW - autocorrelation
KW - historical simulation
N2 - Measuring risk always leads to the aspect that a certain time horizon has to be defined. The square-root-of-time rule is a well-known and simple approach to scale risk onto certain holding periods. In addition, the autocorrelation effect is discussed often in theory and practice. This article tries to answer the question, whether the square-root-of-time rule is able to scale risk onto a defined holding period. In this context, a differentiation between price and total return indices is done. In the end, a concrete hint for the possibility to use the square-root-of-time rule shall be given.
ER -
SVOBODA, Martin a Svend REUSE. Does the Square-root-of-time Rule lead to adequate Values in the Risk Management? - an actual Analysis. In Ing. Miroslav Čulík, Ph.D. \textit{Finanční řízení podniků a finančních institucí. 9th International Scientific Conference Proceedings Part II.}. 1. vyd. Ostrava: VŠB - Technical university of Ostrava, Faculty of Economics, Finance Department, 2013, s.~699-708. ISBN~978-80-248-3172-5.
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