A study of value-at-risk based on M-estimators of the conditional heteroscedastic models
Farhat Iqbal and Kanchan Mukherjee
| Year of publication: |
2012
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|---|---|
| Authors: | Iqbal, Farhat ; Mukherjee, Kanchan |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 31.2012, 5, p. 377-390
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| Subject: | Risikomaß | Risk measure | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity |
| 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/10009582118