Interval estimation of value-at-risk based on nonparametric models
Year of publication: |
December 2018
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Authors: | Khraibani, Hussein ; Nehme, Bilal ; Strauss, Olivier |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 6.2018, 4, p. 1-30
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Subject: | risk measures | quantile estimation | financial time series | Value-at-Risk | choquet integral | possibility theory | maxitive kernel | kernel estimation | parametric models | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | ARCH-Modell | ARCH model |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics6040047 [DOI] hdl:10419/195467 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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