From duration analysis to GARCH models : an approach to systematization of quantitative methods in risk measurement
Krzysztof Jajuga
| Year of publication: |
2016
|
|---|---|
| Authors: | Jajuga, Krzysztof |
| Published in: |
Economics and business review. - Poznań : Poznań Univ. of Economics Press, ISSN 2392-1641, ZDB-ID 2820261-2. - Vol. 2.2016, 3, p. 7-19
|
| Subject: | risk measures | extreme risk | model risk | volatility measures | sensitivity measures | Risikomaß | Risk measure | Volatilität | Volatility | Risiko | Risk | Messung | Measurement | ARCH-Modell | ARCH model | Risikomanagement | Risk management | Theorie | Theory | Statistische Bestandsanalyse | Duration analysis | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.18559/ebr.2016.3.2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011634951