Single-index and portfolio models for forecasting value-at-risk thresholds

Michael McAleer and Bernardo Da Veiga

Year of publication:	2008
Authors:	McAleer, Michael ; Da Veiga, Bernardo
Published in:	Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 27.2008, 3, p. 217-235
Subject:	Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Basler Akkord \| Basel Accord \| Prognoseverfahren \| Forecasting model

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