Value at risk estimation for stock indices using the Basle committee proposal from 1995
Momtchil Pojarliev, Wolfgang Polasek
| Year of publication: |
2000
|
|---|---|
| Authors: | Pojarliev, Momtchil ; Polasek, Wolfgang |
| Publisher: |
Basel : Wirtschaftswiss. Zentrum der Univ. |
| Subject: | Kapitaleinkommen | Capital income | Aktienindex | Stock index | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätzung | Estimation | Theorie | Theory | Nordamerika | North America | Europa | Europe | Asiatisch-pazifischer Raum | Asia-Pacific region | Risikomaß | Risk measure |
| Extent: | 20 S graph. Darst |
|---|---|
| Series: | WWZ discussion papers. - Basel : WWZ, ZDB-ID 1346077-8. - Vol. 00/07 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Literaturverz. S. 19 - 20 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001537678