The importance of window size : a study on the required window size for optimal-quality market risk models
Mateusz Buczyński and Marcin Chlebus
| Year of publication: |
2022
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|---|---|
| Authors: | Buczyński, Mateusz ; Chlebus, Marcin |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 16.2022, 1, p. 77-97
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| Subject: | value-at-risk (VaR) | historical simulation | conditional autoregressive value at risk(CAViaR) | generalized autoregressive conditional heteroscedasticity (GARCH) models | forecastcomparison | sample size | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Simulation | Risikomanagement | Risk management | Risiko | Risk | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2021.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014540551