A Robust VaR Model under Different Time Periods and Weighting Schemes
Year of publication: |
2018
|
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Authors: | Angelidis, Timotheos |
Other Persons: | Benos, Alexandros Vassiliou (contributor) ; Degiannakis, Stavros Antonios (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Volatilität | Volatility |
Extent: | 1 Online-Ressource (25 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2007 erstellt |
Other identifiers: | 10.2139/ssrn.3259775 [DOI] |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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