Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Year of publication: |
2014
|
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Authors: | Krasnosselski, Nikolai ; Cremers, Heinz ; Sanddorf, Walter |
Institutions: | Frankfurt School of Finance and Management |
Subject: | ARCH | Backtesting | BEKK-GARCH | Bootstrapping | CCC-GARCH | Conditional Volatility | Constant Mean Model | DCC-GARCH | EWMA | GARCH | GJR-GARCH | Heteroskedasticity | IGARCH | Mandelbrot | Misspecification Test | Multivariate Volatility Model | Stylized Facts | Univariate Volatility Model | Value at Risk | Volatility Clustering |
Extent: | application/pdf |
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Series: | Frankfurt School - Working Paper Series. - ISSN 1436-9753. |
Type of publication: | Book / Working Paper |
Notes: | Number 208 |
Classification: | C01 - Econometrics ; C02 - Mathematical Methods ; C12 - Hypothesis Testing ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G32 - Financing Policy; Capital and Ownership Structure ; G38 - Government Policy and Regulation |
Source: |
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Krasnosselski, Nikolai, (2014)
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Krasnosselski, Nikolai, (2014)
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Mehmke, Fabian, (2012)
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