Forecasting VaR models under different volatility processes and distributions of return innovations
Yiannis Dendramis, Giles E. Spungin and Elias Tzavalis
| Year of publication: |
2014
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|---|---|
| Authors: | Dendramis, Yiannis ; Spungin, Giles E. ; Tzavalis, Elias |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 33.2014, 7, p. 515-531
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| Subject: | risk measures | value at risk | GARCH | EGARCH and regime-switching models | extreme value theory | skewed distributions | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Theorie | Theory | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Kapitaleinkommen | Capital income | Ausreißer | Outliers | VAR-Modell | VAR model |
| 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/10011282095