References
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- Jorion, Philippe, "Value at Risk, The New Benchmark for Managing Financial Risk", 2nd edition, New York, McGraw Hill, 2001.
- Manganelli, Simone and Engle, Robert F., "Value at Risk models in Finance", ECB working paper series, No. 75., Aug 2001.
- Žiković, Saša and Bezić, Heri, "Is historical simulation appropriate for measuring market risk?: A case of countries candidates for EU accession", CEDIMES conference, Ohrid, FYR Macedonia, 23-27 March 2006.