Performance and conservatism of monthly FHS VaR : an international investigation
Stéphane Chrétien; Frank Coggins
| Year of publication: |
2010
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|---|---|
| Authors: | Chrétien, Stéphane ; Coggins, Frank |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 19.2010, 5, p. 323-333
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| Subject: | VaR models with filtered historical simulation | GARCH models | Unconditional and conditional coverage tests | Conservatism tests | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Simulation | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Schätzung | Estimation | Konjunktur | Business cycle | Statistischer Test | Statistical test |
| 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/10009272652