Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios
Year of publication: |
2014
|
---|---|
Authors: | Chuang, Chung-Chu ; Wang, Yi-Hsien ; Yeh, Tsai-Jung ; Chuang, Shuo-Li |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 42.2014, p. 15-19
|
Subject: | Value-at-risk | Minimum-variance hedging portfolios | Backtest | Level effect | Futures | Theorie | Theory | Portfolio-Management | Portfolio selection | Hedging | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Statistischer Test | Statistical test | ARCH-Modell | ARCH model |
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