Empirical Issues in Value at Risk Estimation: Time varying Volatility, Fat Tails and Parameter Uncertainty
Year of publication: |
2000-06-20
|
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Authors: | Bams, Dennis ; Wielhouwer, Jacco L. |
Publisher: |
Market Risk Management ING Group <Amsterdam> Rijksuniversiteit Limburg <Maastricht> |
Subject: | Value at Risk | Volatilität |
Extent: | 1035.264 bytes 22 p. application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | AFIR Colloquium Tromsø - Norway - June 20-23, 2000 |
Classification: | Management of insurance ; Insurance Industry ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
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