Comparison of methods for estimating the uncertainty of value at risk
Santiago Gamba-Santamaria, Oscar Fernando Jaulin-Mendez, Luis Fernando Melo-Velandia and Carlos Andrés Quicazán-Moreno
| Year of publication: |
2016
|
|---|---|
| Authors: | Gamba-Santamaria, Santiago ; Jaulin-Mendez, Oscar Fernando ; Melo-Velandia, Luis Fernando ; Quicazán-Moreno, Carlos Andrés |
| Published in: |
Studies in economics and finance. - Bradford : Emerald, ISSN 1086-7376, ZDB-ID 2364532-5. - Vol. 33.2016, 4, p. 595-624
|
| Subject: | Confidence intervals | Data tilting | Hill estimator | Subsample bootstrap | Value at risk | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Bootstrap-Verfahren | Bootstrap approach | Risiko | Risk | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/SEF-03-2016-0055 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011722562