CAViaR : conditional autoregressive value-at-risk by regression quantiles
Robert F. Engle
| Year of publication: |
2001
|
|---|---|
| Authors: | Engle, Robert F. |
| Publisher: |
Taipei : Inst. of Economics, Academia Sinica |
| Subject: | Schätztheorie | Estimation theory | Theorie | Theory | Risikomaß | Risk measure |
| Extent: | 49 S graph. Darst |
|---|---|
| Series: | Chung-hua series of lectures by invited eminent economists. - Taibai, ISSN 1027-5045, ZDB-ID 2125131-9. - Vol. 27 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Literaturverz. S. 33 - 36 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001633554