Value-at-risk forecasts with conditional volatility for structured products
Year of publication: |
2011
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Authors: | Chen, Fen-ying |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 5.2011, 1, p. 45-69
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Subject: | Finanzmarkt | Financial market | Ölpreis | Oil price | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model |
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