A decision rule to minimize daily capital charges in forecasting value-at-risk
Michael McAleer, Juan-Angel Jimenez-Martin and Teodosio Pérez-Amaral
| Year of publication: |
2010
|
|---|---|
| Authors: | McAleer, Michael ; Jimenez-Martin, Juan-Angel ; Pérez Amaral, Teodosio |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 29.2010, 7, p. 617-634
|
| Subject: | Risikomaß | Risk measure | Theorie | Theory | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Entscheidung | Decision |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008935446