Zur Prognose des Value-at-Risk und Expected Shortfall mit zeitdiskreten Stochastic-Volatility-Modellen : empirische Ergebnisse für Finanzmarktzeitreihen
Valentin S. Dimitrov. Betreuer: Ralph Friedmann
| Alternative title: | On forecasting the value-at-risk and expected shortfall with discrete-time stochastic-volatility models |
|---|---|
| Year of publication: |
2015
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| Authors: | Dimitrov, Valentin S. |
| Other Persons: | Friedmann, Ralph (contributor) |
| Publisher: |
Saarbrücken : Saarländische Universitäts- und Landesbibliothek |
| Subject: | Finanzmarkt | Financial market | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Stochastische Volatilität | Stochastic volatility | Prognoseverfahren | Forecasting model |
freely available
| Extent: | Online-Ressource |
|---|---|
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Hochschulschrift ; Graue Literatur ; Non-commercial literature ; Thesis |
| Language: | German |
| Thesis: | Saarbrücken, Universität des Saarlandes, Diss., 2015 |
| Notes: | Systemvoraussetzung: PDF Reader Parallelt.: On forecasting the value-at-risk and expected shortfall with discrete-time stochastic-volatility models |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011343772