A robust VaR model under different time periods and weighting schemes
Year of publication: |
2007
|
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Authors: | Angelidis, Timotheos ; Benos, Alexandros Vassiliou ; Degiannakis, Stavros |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 28.2007, 2, p. 187-201
|
Subject: | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model |
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