Determining risk model confidence sets
Mark Cummins, Michael Dowling, Francesco Esposito
| Year of publication: |
August 2017
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|---|---|
| Authors: | Cummins, Mark ; Dowling, Michael ; Esposito, Francesco |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 22.2017, p. 169-174
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| Subject: | Model confidence set | Model selection | Market risk models | Theorie | Theory | Prognoseverfahren | Forecasting model | Modellierung | Scientific modelling | Portfolio-Management | Portfolio selection | Bootstrap-Verfahren | Bootstrap approach | Statistischer Test | Statistical test | Marktrisiko | Market risk | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2017.02.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011808131