Estimating the value-at-risk from high-frequency data
Pavol Krasnovský
| Year of publication: |
2015
|
|---|---|
| Authors: | Krasnovský, Pavol |
| Published in: |
European financial and accounting journal : EFAJ. - Praha : [Verlag nicht ermittelbar], ISSN 1805-4846, ZDB-ID 2819858-X. - Vol. 10.2015, 2, p. 5-11
|
| Subject: | Data augmentation | Gibbs sampler | Quadratic variation | Time changed Brownian motion | Theorie | Theory | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.18267/j.efaj.138 [DOI] hdl:10419/141428 [Handle] |
| Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C53 - Forecasting and Other Model Applications |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011471021