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Search: subject:"Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH)"
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Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH)
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backtests
2
error distributions
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high-frequency
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intraday expected shortfall (ES)
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intraday value-at-risk (VaR)
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model validation
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Narsoo, Jason
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Summinga-Sonagadu, Ravi
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Risk model validation: An intraday VaR and ES approach using the multiplicative component GARCH
Summinga-Sonagadu, Ravi
;
Narsoo, Jason
- In:
Risks
7
(
2019
)
1
,
pp. 1-23
assess the competency of the
Multiplicative
Component
Generalised
Autoregressive
Heteroskedasticity
(
MC-GARCH
) models based …
Persistent link: https://www.econbiz.de/10013200428
Saved in:
2
Risk model validation : an intraday VaR and ES approach using the multiplicative component GARCH
Summinga-Sonagadu, Ravi
;
Narsoo, Jason
- In:
Risks : open access journal
7
(
2019
)
1/10
,
pp. 1-23
assess the competency of the
Multiplicative
Component
Generalised
Autoregressive
Heteroskedasticity
(
MC-GARCH
) models based …
Persistent link: https://www.econbiz.de/10012018629
Saved in:
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