Comparing univariate and multivariate models to forecast portfolio value-at-risk
Year of publication: |
2009-11
|
---|---|
Authors: | Andre A. P. ; Nogales, Francisco J. ; Ruiz, Esther |
Institutions: | Departamento de Estadistica, Universidad Carlos III de Madrid |
Subject: | Market risk | Backtesting | Conditional predictive ability | GARCH | Volatility | Capital requirements | Basel II |
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