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smicha's BibTeX entry:  

Modelling daily Value-at-Risk using realized volatility and ARCH type models

Journal of Empirical Finance, 11(3): 379--398, 2004.
Authors: Pierre Giot and S{\'e}bastien Laurent
URL: http://www.sciencedirect.com/science/article/B6VFG-4C47SXF-1/1/9f3c1e4d8d146913ef8812fdf5e3f779
Tags: Value-at-risk
| URL | BibTeX  
@article{Giot2004,
title = {Modelling daily Value-at-Risk using realized volatility and ARCH type models},
author = {Pierre Giot and S{\'e}bastien Laurent},
journal = {Journal of Empirical Finance},
month = {Jun},
number = {3},
pages = {379--398},
url = {http://www.sciencedirect.com/science/article/B6VFG-4C47SXF-1/1/9f3c1e4d8d146913ef8812fdf5e3f779},
volume = {11},
year = {2004},
keywords = {Value-at-risk }
}