Backtesting value-at-risk : a duration-based approach
Peter Christoffersen; Denis Pelletier
| Year of publication: |
2003
|
|---|---|
| Authors: | Christoffersen, Peter F. ; Pelletier, Denis |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 2.2004, 1, p. 84-108
|
| Subject: | ARCH-Modell | ARCH model | Dauer | Duration | Schätztheorie | Estimation theory | Risikomaß | Risk measure |
| 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/10002214210