Incorporating volatility updating into the historical simulation method for value-at-risk
John Hull, Alan White
| Year of publication: |
2004
|
|---|---|
| Authors: | Hull, John ; White, Alan |
| Published in: |
Innovations in risk management : seminal papers from the Journal of Risk. - London : Risk Books, ISBN 1-904339-28-X. - 2004, p. 35-53
|
| Subject: | Simulation | Volatilität | Volatility | Risikomaß | Risk measure | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Language: | English |
| Notes: | Literaturangaben |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002600212