Comparison of Value at Risk (VaR) multivariate forecast models
Fernanda Maria Müller, Marcelo Brutti Righi
| Year of publication: |
2024
|
|---|---|
| Authors: | Müller, Fernanda Maria ; Righi, Marcelo Brutti |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 63.2024, 1, p. 75-110
|
| Subject: | Copulas | Multivariate GARCH models | Risk forecasting | Value at Risk (VaR) | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Theorie | Theory | Multivariate Analyse | Multivariate analysis | Multivariate Verteilung | Multivariate distribution | Volatilität | Volatility | Risiko | Risk | Risikomanagement | Risk management | Varianzanalyse | Analysis of variance | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-022-10330-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014471980