Capturing value-at-risk in futures markets : a revised filtered historical simulation approach
Year of publication: |
2012
|
---|---|
Authors: | Changchien, Chang-cheng ; Lin, Chu-Hsiung ; Kao, Wei-shun |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 6.2012, 4, p. 67-93
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Subject: | Risikomaß | Risk measure | Derivat | Derivative | Simulation | Statistische Methodenlehre | Statistical theory | Prognoseverfahren | Forecasting model |
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