Modelling daily value-at-risk using realized volatility and ARCH type models
Pierre Giot; Sébastien Laurent
| Year of publication: |
2004
|
|---|---|
| Authors: | Giot, Pierre ; Laurent, Sébastien |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 11.2004, 3, p. 379-398
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| Subject: | ARCH-Modell | ARCH model | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002050367