Härdle, Wolfgang; Hlavka, Zdenek; Stahl, Gerhard - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
simple mappings: the mapping on the market index, the principal components model and the model with equally correlated risk … principal components model and the model with
equally correlated risk factors. The comparison of these models in Chapter 3 is … the DAX data using
XploRe.
Keywords: Value-at-Risk, market index model, principal components, random effects
model …