Impact of value-at-risk models on market stability
Bàrbara Llacay, Gilbert Peffer
| Year of publication: |
September 2017
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|---|---|
| Authors: | Llacay, Bàrbara ; Peffer, Gilbert |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 82.2017, p. 223-256
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| Subject: | Value-at-risk | Agent-based simulation | Financial instability | Volatility | Risk limit | Volatility window | Volatilität | Risikomaß | Risk measure | Simulation | Finanzkrise | Financial crisis | Agentenbasierte Modellierung | Agent-based modeling | ARCH-Modell | ARCH model | Finanzmarkt | Financial market | Theorie | Theory | Risikomanagement | Risk management | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2017.07.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011915567