On the appropriateness of inappropriate VaR models
| Year of publication: |
2006
|
|---|---|
| Authors: | Härdle, Wolfgang ; Hlávka, Zdeněk ; Stahl, Gerhard |
| Published in: |
AStA Advances in Statistical Analysis. - Springer. - Vol. 90.2006, 2, p. 273-297
|
| Publisher: |
Springer |
| Subject: | Value-at-Risk | market index model | principal components | random effects model | probability forecast |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Classification: | C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; G20 - Financial Institutions and Services. General |
| Source: |
Persistent link: https://www.econbiz.de/10005155565