FARVaR : functional autoregressive value-at-risk
Charlie X Cai, Minjoo Kim, Yongcheol Shin, Qi Zhang
| Year of publication: |
2019
|
|---|---|
| Authors: | Cai, Charlie X. ; Kim, Minjoo ; Shin, Yongcheol ; Zhang, Qi |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 2, p. 284-337
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| Subject: | density forecasts | functional autoregressive model covariance | market risk management | Prognoseverfahren | Forecasting model | Autokorrelation | Autocorrelation | Theorie | Theory | Risikomaß | Risk measure | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Marktrisiko | Market risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nby031 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012054445