Evaluating interest rate covariance models within a value-at-risk framework
Miguel A. Ferreira; Jose A. Lopez
| Year of publication: |
2005
|
|---|---|
| Authors: | Ferreira, Miguel A. ; López, José A. |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 3.2005, 1, p. 126-168
|
| Subject: | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Risikomaß | Risk measure |
| 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/10002574541