On the Appropriateness of Inappropriate VaR Models
Year of publication: |
2006-01
|
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Authors: | Härdle, Wolfgang ; Hlavka, Zdenek ; Stahl, Gerhard |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Value-at-Risk | market index model | principal components | random effects model | probability forecast |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2006-003 26 pages |
Classification: | C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; G20 - Financial Institutions and Services. General |
Source: |
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On the appropriateness of inappropriate VaR models
Härdle, Wolfgang, (2006)
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On the appropriateness of inappropriate VaR models
Härdle, Wolfgang Karl, (2006)
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