A new approach for using Lévy processes for determining high-frequency value-at-risk predictions
Wei Sun; Svetlozar Rachev; Frank J. Fabozzi
| Year of publication: |
2009
|
|---|---|
| Authors: | Sun, Wei ; Račev, Svetlozar T. ; Fabozzi, Frank J. |
| Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 15.2009, 2, p. 340-361
|
| Subject: | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Aktienindex | Stock index | Deutschland | Germany |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003824799