Value at risk models in Indian markets : a predictive ability evaluation study
Kushagra Goel, Sunny Oswal
| Year of publication: |
2019
|
|---|---|
| Authors: | Goel, Kushagra ; Oswal, Sunny |
| Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 9.2019, 8, p. 2824-2838
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| Subject: | Value-at-Risk | Monte Carlo Simulation | Implied Volatility | Historical Based Approach | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Indien | India | Simulation | ARCH-Modell | ARCH model | Risikomanagement | Risk management | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/tel.2019.98177 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012214623