Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
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 | Theorie | Theory | Prognoseverfahren | Forecasting model | Volatilität | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Risiko | Risk |
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