Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model
Michael McAleer and Bernardo Da Veiga
| Year of publication: |
2008
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|---|---|
| Authors: | McAleer, Michael ; Da Veiga, Bernardo |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 27.2008, 1, p. 1-19
|
| Subject: | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model |
| 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/10003738381