A simple normal inverse Gaussian-type approach to calculate value-at-risk based on realized moments
Christian Lau
| Year of publication: |
2015
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|---|---|
| Authors: | Lau, Christian |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 17.2014/2015, 4, p. 1-18
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| Subject: | Data | Value-at-risk (VAR) | Risk management | Original research | Risikomaß | Risk measure | Risikomanagement | Theorie | Theory | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2015.319 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013262937