Forecasting robust value-at-risk estimates : evidence from UK banks
Marius Galabe Sampid and Haslifah M. Hasim
| Year of publication: |
2021
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|---|---|
| Authors: | Sampid, Marius Galabe ; Hasim, Haslifah Mohamad |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 11, p. 1955-1975
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| Subject: | Extreme value theory | GARCH | Risk management | Value-at-risk | Vine copulas | Volatility model | Risikomanagement | Risikomaß | Risk measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Ausreißer | Outliers | Multivariate Verteilung | Multivariate distribution | Bankrisiko | Bank risk | Statistische Verteilung | Statistical distribution | Theorie | Theory | Risiko | Risk | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1579923 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012696799