@unpublished{chotard:hal-01424285, TITLE = {{Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study}}, AUTHOR = {Chotard, Rosnan and Dacorogna, Michel and Kratz, Marie}, URL = {https://essec.hal.science/hal-01424285}, NOTE = {working paper or preprint}, HAL_LOCAL_REFERENCE = {ESSEC Working paper. Document de Recherche ESSEC / Centre de recherche de l'ESSEC. ISSN : 1291-9616. WP 1618}, YEAR = {2016}, MONTH = Nov, KEYWORDS = {backtest ; risk measure ; sample quantile process ; stochastic model ; VaR ; volatility}, PDF = {https://essec.hal.science/hal-01424285/file/WP1618.pdf}, HAL_ID = {hal-01424285}, HAL_VERSION = {v1}, }