Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling
| Year of publication: |
2006
|
|---|---|
| Authors: | Aussenegg, Wolfgang ; Miazhynskaia, Tatiana |
| Published in: |
Financial Markets and Portfolio Management. - Springer, ISSN 1555-4961. - Vol. 20.2006, 3, p. 243-264
|
| Publisher: |
Springer |
| Subject: | Value-at-risk | Bayesian analysis | GARCH | Historical simulation | Bootstrap resampling |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005722911