A robust VaR model under different time periods and weighting schemes
Timotheos Angelidis; Alexandros Benos; Stavros Degiannakis
| Year of publication: |
2007
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|---|---|
| Authors: | Angelidis, Timotheos ; Benos, Alexandros Vassiliou ; Degiannakis, Stavros |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 28.2007, 2, p. 187-201
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| Subject: | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model |
| 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/10003492794