Backtesting Value-at-Risk : A Comparison between Filtered Bootstrap and Historical Simulation
Year of publication: |
2014
|
---|---|
Authors: | Colucci, Stefano |
Other Persons: | Brandolini, Dario (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | Risikomaß | Risk measure | Bootstrap-Verfahren | Bootstrap approach | Vergleich | Comparison | Großbritannien | United Kingdom | Monte-Carlo-Simulation | Monte Carlo simulation | Aktienindex | Stock index | Simulation |
Extent: | 1 Online-Ressource (36 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 28, 2011 erstellt |
Other identifiers: | 10.2139/ssrn.1965377 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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