Estimation risk in GARCH VaR and ES estimates
Feng Gao and Fengming Song
| Year of publication: |
2008
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|---|---|
| Authors: | Gao, Feng ; Song, Fengming |
| Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 24.2008, 5, p. 1404-1424
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| Subject: | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Schätztheorie | Estimation theory |
| 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://www.econbiz.de/10003748804