Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model
Year of publication: |
2009 ; This Version: 2009-09-09
|
---|---|
Authors: | Gürtler, Marc ; Rauh, Ronald |
Publisher: |
Braunschweig |
Subject: | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Schätztheorie | Estimation theory |
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