Estimation risk for value-at-risk and expected shortfall
Paul Kabaila and Rheanna Mainzer
| Year of publication: |
February 2018
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|---|---|
| Authors: | Kabaila, Paul ; Mainzer, Rheanna |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 20.2017/2018, 3, p. 29-47
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| Subject: | value-at-risk (VaR) | expected shortfall (ES) | estimation risk | GARCH(1,1) | market risk | parameter estimation error | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Schätzung | Estimation | Risikomanagement | Risk management | Risiko | Risk | Kapitaleinkommen | Capital income | Volatilität | Volatility | Aktienindex | Stock index | Marktrisiko | Market risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2018.376 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011847463