Multiple-period market risk prediction under long memory : when VaR is higher than expected
Harald Kinateder and Niklas Wagner
| Year of publication: |
2014
|
|---|---|
| Authors: | Kinateder, Harald ; Wagner, Niklas F. |
| Published in: |
Journal of risk finance : the convergence of financial products and insurance. - Bingley : Emerald Group Publishing Limited, ISSN 1526-5943, ZDB-ID 2088897-1. - Vol. 15.2014, 1, p. 4-32
|
| Subject: | GARCH | Hurst exponent | Long memory | Multiple-period value-at-risk | Square-root-of-time rule | Volatility scaling | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Theorie | Theory | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| 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/10010252220