Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model
Year of publication: |
2006-11-03
|
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Authors: | Hartz, Christoph ; Mittnik, Stefan ; Paolella, Marc S. |
Institutions: | Center for Financial Studies |
Subject: | Bootstrap | GARCH | Value-at-Risk |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2006/23 31 pages |
Classification: | C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; C63 - Computational Techniques ; G12 - Asset Pricing |
Source: |
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