Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Mateusz Buczy´nski and Marcin Chlebus
| Year of publication: |
2020
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|---|---|
| Authors: | Buczy´nski, Mateusz ; Chlebus, Marcin |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 14.2020, 2, p. 1-20
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| Subject: | generalized autoregressive conditional heteroscedasticity (GARCH) | extreme value theory (EVT) | value-at-risk (VaR) | filtered historical simulation | conditional autoregressive VaR (CAViaR) | forecast comparison | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Ausreißer | Outliers | Schätzung | Estimation | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Simulation | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2020.222 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014335934