Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Dilip Kumar
| Year of publication: |
2020
|
|---|---|
| Authors: | Kumar, Dilip |
| Published in: |
The journal of prediction markets. - Buckingham : Univ. of Buckingham Press, ISSN 1750-6751, ZDB-ID 2388613-4. - Vol. 14.2020, 1, p. 27-48
|
| Subject: | Extreme value volatility estimator | Structural breaks | Value-at-risk | Asymmetry | Risk management | Volatilität | Volatility | Strukturbruch | Structural break | Risikomaß | Risk measure | Risikomanagement | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Ausreißer | Outliers | Kapitaleinkommen | Capital income | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.5750/jpm.v14i1.1774 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012667394