Intraday (delta) exposure conditional value at risk : a periodic mixed-frequency generalized autoregressive score approach
authors: Tobias Eckernkemper and Bastian Gribisch
| Year of publication: |
2019
|
|---|---|
| Authors: | Eckernkemper, Tobias ; Gribisch, Bastian |
| Published in: |
Distributional modeling of financial systemic risk and income data. - Köln. - 2019, p. 68-121
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| Subject: | Risikomaß | Risk measure | Theorie | Theory | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012179649