Aggregation of exponential smoothing processes with an application to portfolio risk evaluation
Giacomo Sbrana; Andrea Silvestrini
| Year of publication: |
2013
|
|---|---|
| Authors: | Sbrana, Giacomo ; Silvestrini, Andrea |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 5, p. 1437-1450
|
| Subject: | Contemporaneous and temporal aggregation | ARIMA | Volatility | Value-at-Risk | Volatilität | Aggregation | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| 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/10009729085