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~institution:"Institut für Schweizerisches Bankwesen <Zürich>"
~person:"Hartz, Christoph"
~subject:"Erwartungstheorie"
~subject:"Value at Risk"
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Hartz, Christoph
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Institut für Schweizerisches Bankwesen <Zürich>
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Accurate Value-at-
Risk
Forecasting Based on the (good old) Normal-GARCH Model
Hartz, Christoph
;
Mittnik, Stefan
;
Paolella, Marc S.
-
Institut für Schweizerisches Bankwesen <Zürich>
-
2006
A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-
Risk
(VaR …
Persistent link: https://www.econbiz.de/10005858360
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