A new bootstrap test for multiple assets joint risk testing
David Ardia, Lukasz Gatarek and Lennart F. Hoogerheide
| Year of publication: |
April 2017
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|---|---|
| Authors: | Ardia, David ; Gatarek, Lukasz ; Hoogerheide, Lennart |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 19.2016/2017, 4, p. 1-22
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| Subject: | bootstrap test | generalized autoregressive conditional heteroscedasticity (GARCH) | marginal models | multiple time series | value-at-risk (VaR) | ARCH-Modell | ARCH model | Bootstrap-Verfahren | Bootstrap approach | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2017.356 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011710231