On the role of the estimation error in prediction of expected shortfall
Carl Lönnbark
| Year of publication: |
2013
|
|---|---|
| Authors: | Lönnbark, Carl |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 3, p. 847-853
|
| Subject: | Backtesting | Delta method | Finance | GARCH | Risk management | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Risikomanagement | Statistischer Fehler | Statistical error | Aktienindex | Stock index | Prognoseverfahren | Forecasting model | Theorie | Theory |
| 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/10009708735