A residual bootstrap for conditional Value-at-Risk
Eric Beutner, Alexander Heinemann, Stephan Smeekes
| Year of publication: |
2024
|
|---|---|
| Authors: | Beutner, Eric ; Heinemann, Alexander ; Smeekes, Stephan |
| Subject: | GARCH | Residual bootstrap | Value-at-Risk | Bootstrap-Verfahren | Bootstrap approach | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2023.105554 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015073889