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
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://ebvufind01.dmz1.zbw.eu/10014471980