Estimation and performance assessment of value-at-risk and expected shortfall based on long-memory GARCH-class models
Chaker Aloui; Hela Ben Hamida
| Year of publication: |
2015
|
|---|---|
| Authors: | Aloui, Chaker ; Ben Hamida, Hela |
| Published in: |
Finance a úvěr. - Praha : Datakonekt, ISSN 0015-1920, ZDB-ID 860318-2. - Vol. 65.2015, 1, p. 30-54
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| Subject: | value-at-risk | expected shortfall | long memory | GARCH-class models | asymmetries | market risk | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Theorie | Theory | Volatilität | Volatility | Risikomanagement | Risk management | Schätzung | Estimation | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Marktrisiko | Market risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010474200