Econometric modeling of value-at-risk
Year of publication: |
2008
|
---|---|
Authors: | Angelidis, Timotheos ; Degiannakis, Stavros |
Published in: |
New econometric modelling research. - New York, NY : Nova Science Publ., ISBN 1-60021-586-6. - 2008, p. 9-60
|
Subject: | Risikomaß | Risk measure | Risikomanagement | Risk management | Schätztheorie | Estimation theory |
-
Pro-cyclicality beyond business cycle
Bräutigam, Marcel, (2023)
-
Eller, Roland, (1999)
-
Time-varying conditional Johnson Su density in Value-at-Risk methodology
Cayton, Peter Julian, (2015)
- More ...
-
Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market
Angelidis, Timotheos, (2008)
-
Return dispersion, stock market liquidity and aggregate economic activity
Degiannakis, Stavros, (2013)
-
Modeling risk for long and short trading positions
Angelidis, Timotheos, (2005)
- More ...