Type of publication: Book / Working Paper
Language: English
Notes:
Degiannakis, Stavros and Dent, Pamela and Floros, Christos (2014): A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification. Published in: The Manchester School , Vol. 1, No. 82 (2014): pp. 71-102.
Classification: C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets ; G17 - Financial Forecasting
Source:
BASE
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015256942