Methods for computing numerical standard errors : review and application to value-at-risk estimation
David Ardia, Keven Bluteau, Lennart F. Hoogerheide
| Year of publication: |
Jul 2018
|
|---|---|
| Authors: | Ardia, David ; Bluteau, Keven ; Hoogerheide, Lennart |
| Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 10.2018, 2, p. 1-9
|
| Subject: | bootstrap | GARCH | HAC kernel | numerical standard error (NSE) | Monte Carlo | Markov chain Monte Carlo (MCMC) | spectral density | value-at-risk | Welch | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomaß | Risk measure | Markov-Kette | Markov chain | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Statistischer Fehler | Statistical error | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/jtse-2017-0011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011898020