Chen, Ying (contributor); Spokojnyj, Vladimir G. (contributor) - 2007
RiskMetrics, one risk management method considered as industry standard. However these assumptions are unrealistic. The primary … proposed method in volatility estimation and risk management given simulated and real data. Numerical results show the proposed …
SFB 649 Discussion Paper 2007-002
Robust Risk Management.
Accounting for
Nonstationarity and …