Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework
Year of publication: |
2014
|
---|---|
Authors: | Braione, Manuela ; Scholtes, Nicolas K. |
Publisher: |
Louvain-la-Neuve : CORE |
Subject: | Kapitalmarktrendite | Capital market returns | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model |
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