Value at risk forecasts by extreme value models in a conditional duration framework
Rodrigo Herrera; Bernhard Schipp
| Year of publication: |
2013
|
|---|---|
| Authors: | Herrera, Rodrigo ; Schipp, Bernhard |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 23.2013, p. 33-47
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| Subject: | Extreme value theory | Autoregressive conditional duration | Value at risk | Self-exciting point process | Conditional intensity | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Ausreißer | Outliers | Theorie | Theory | Börsenkurs | Share price | Statistische Bestandsanalyse | Duration analysis | Schätzung | Estimation | Autokorrelation | Autocorrelation | Dauer | Duration | Deutschland | Germany | Prognoseverfahren | Forecasting model |
| Extent: | graph. Darst. |
|---|---|
| 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://ebvufind01.dmz1.zbw.eu/10010221789