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~institution:"Institut für Schweizerisches Bankwesen <Zürich>"
~person:"Mittnik, Stefan"
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GARCH-Prozess
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risk management
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Mittnik, Stefan
Scaillet, Olivier
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Institut für Schweizerisches Bankwesen <Zürich>
Center for Financial Studies
9
Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia
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Institut für Schweizerisches Bankwesen Zürich - Working Paper Series
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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
Saved in:
2
Stable Mixture GARCH Models
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
; …
-
Institut für Schweizerisches Bankwesen <Zürich>
-
2005
A new and quite general model class for modeling asset returns and forecasting Value at
Risk
is proposed. It combines a …
Persistent link: https://www.econbiz.de/10005858751
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