Value at risk using GARCH volatility models augmented with extreme value theory
A. Dicks, W. J. Conradie and T. de Wet
| Year of publication: |
2014
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|---|---|
| Authors: | Dicks, A. ; Conradie, W. J. ; De Wet, Tertius |
| Published in: |
Tydskrif vir studies in ekonomie en ekonometrie : SEE. - Stellenbosch : [Verlag nicht ermittelbar], ISSN 0379-6205, ZDB-ID 863779-9. - Vol. 38.2014, 3, p. 1-18
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| Subject: | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Volatilität | Volatility | Theorie | Theory | Ausreißer | Outliers |
| 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://www.econbiz.de/10010517322