Do long-memory GARCH-type-value-at-risk models outperform none-and semi-parametric value-at-risk models?
Onder Buberkoku
| Year of publication: |
2019
|
|---|---|
| Authors: | Buberkoku, Onder |
| Published in: |
International Journal of Energy Economics and Policy : IJEEP. - Mersin : EconJournals, ISSN 2146-4553, ZDB-ID 2632577-9. - Vol. 9.2019, 2, p. 199-215
|
| Subject: | Long-memory GARCH-type Models | Value-at-risk | Historical Simulation | Filtered Historical Simulation | Simulation | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory | Portfolio-Management | Portfolio selection |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.32479/ijeep.7253 [DOI] hdl:11159/3173 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012027037