Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
Pilar Abad, Sonia Benito Muela, Carmen López-Martín and Miguel Angel Sánchez Granero
| Year of publication: |
June 2016
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|---|---|
| Authors: | Abad, Pilar ; Benito Muela, Sonia ; López-Martín, Carmen ; Sánchez Granero, Miguel Angel |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 18.2016, 5, p. 1-28
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| Subject: | value-at-risk (VaR) | parametric model | skewness generalized t (SGT) distribution | generalized autoregressive conditional heteroscedasticity (GARCH) model | risk management | loss function | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Finanzkrise | Financial crisis | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Kapitaleinkommen | Capital income |
| 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://ebvufind01.dmz1.zbw.eu/10011598265