Comparing univariate and multivariate models to forecast portfolio value-at-risk
André A. P. Santos, Francisco J. Nogales; Esther Ruiz
| Year of publication: |
2013
|
|---|---|
| Authors: | Santos, André A. P. ; Nogales, Francisco J. ; Ruiz, Esther |
| 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. 11.2013, 2, p. 400-441
|
| Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
| 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/10009745807