Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Sonia Benito Muela
| Year of publication: |
2015
|
|---|---|
| Authors: | Benito Muela, Sonia |
| Published in: |
Journal of contemporary management : JMC. - Toronto : Better Advances Press, ISSN 1929-0128, ZDB-ID 2837237-2. - Vol. 4.2015, 3, p. 67-80
|
| Subject: | Value at Risk | Risk Management | Volatility | EGARCH Model | Volatilität | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Risikomanagement | Risk management | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Theorie | Theory | Portfolio-Management | Portfolio selection | Kapitalmarktrendite | Capital market returns | Schätzung | Estimation | Risiko | Risk | VAR-Modell | VAR model | Aktienindex | Stock index |
| Extent: | graph. Darst. |
|---|---|
| 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/10011392904