Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data
Amine Jalal; Michael Rockinger
| Year of publication: |
2008
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|---|---|
| Authors: | Jalal, Amine ; Rockinger, Michael |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 15.2008, 5, p. 868-877
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| Subject: | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Risikomaß | Risk measure | Ausreißer | Outliers |
| 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/10003776390