The information content of the VDAX volatility index and backtesting daily value-at-risk models
Ihsan Ullah Badshah (Department of Finance, Auckland University of Technology, Auckland, New Zealand)
| Year of publication: |
2015
|
|---|---|
| Authors: | Badshah, Ihsan Ullah |
| Published in: |
International journal of financial markets and derivatives. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7130, ZDB-ID 2550152-5. - Vol. 4.2015, 3/4, p. 213-230
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| Subject: | Volatilität | Volatility | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Informationswert | Information value | Prognoseverfahren | Forecasting model | Index | Index number | Aktienindex | Stock index | Theorie | Theory |
| 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/10011545996