Dependent bootstrapping for value-at-risk and expected shortfall
Ian Laker, Chun-Kai Huang, Allan Ernest Clark
| Year of publication: |
November 2017
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|---|---|
| Authors: | Laker, Ian ; Huang, Chun-Kai ; Clark, Allan Ernest |
| Published in: |
Risk management : a journal of risk, crisis and disaster. - Basingstoke : Palgrave Macmillan, ISSN 1460-3799, ZDB-ID 2227982-9. - Vol. 19.2017, 4, p. 301-322
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| Subject: | Block bootstrap | Stationary bootstrap | Value-at-risk | Expected shortfall | GARCH | Bootstrap-Verfahren | Bootstrap approach | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Theorie | Theory | Aktienindex | Stock index | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41283-017-0023-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011850004