Measuring risk in fixed income portfolios using yield curve models
João F. Caldeira, Guilherme V. Moura, André A. P. Santos
| Year of publication: |
June 2015
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|---|---|
| Authors: | Caldeira, João F. ; Moura, Guilherme Valle ; Santos, André A. P. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 46.2015, 1, p. 65-82
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| Subject: | Dynamic conditional correlation (DCC) | Dynamic factor models | Value-at-risk (VaR) | Yield curve | Zinsstruktur | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Theorie | Theory | Anleihe | Bond | ARCH-Modell | ARCH model | Korrelation | Correlation | Schätzung | Estimation | Ökonometrisches Modell | Econometric model | Faktorenanalyse | Factor analysis | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-014-9438-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011441011