New approach to density estimation and application to value-at-risk
Kian-Guan Lim, Hao Cheng, Nelson K.L. Yap (Quantitative Finance, Singapore Management University, Stamford Road, Singapore)
| Year of publication: |
November 2015
|
|---|---|
| Authors: | Lim, Kian-Guan ; Cheng, Hao ; Yap, Nelson K. L. |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 5.2015, 5, p. 423-432
|
| Subject: | Density Estimation | Value-at-Risk | Forecasting and Prediction | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2015.55036 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011440077