A new bootstrap test for multiple assets joint risk testing
Year of publication: |
April 2017
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Authors: | Ardia, David ; Gatarek, Lukasz ; Hoogerheide, Lennart |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 19.2016/2017, 4, p. 1-22
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Subject: | bootstrap test | generalized autoregressive conditional heteroscedasticity (GARCH) | marginal models | multiple time series | value-at-risk (VaR) | Zeitreihenanalyse | Time series analysis | Bootstrap-Verfahren | Bootstrap approach | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Risikomaß | Risk measure |
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