Distribution of returns generated by stochastic exposure : an application to VaR calculation in the futures markets
Emmanuel Acar and Andrew Pearson
| Year of publication: |
2002
|
|---|---|
| Authors: | Acar, Emmanuel ; Pearson, Andrew |
| Published in: |
Performance measurement in finance. - Oxford [u.a.] : Butterworth-Heinemann, ISBN 0-7506-5026-5. - 2002, p. 73-90
|
| Subject: | Theorie | Theory | Derivat | Derivative | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | VAR-Modell | VAR model |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Notes: | Literaturangaben |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001718574