Comparison of semi-parametric and benchmark value-at-risk models in several time periods with different volatility levels
Year of publication: |
2018
|
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Authors: | Buczyński, Mateusz ; Chlebus, Marcin |
Published in: |
e-Finanse: Financial Internet Quarterly. - Warsaw : Sciendo, ISSN 1734-039X. - Vol. 14.2018, 2, p. 67-82
|
Publisher: |
Warsaw : Sciendo |
Subject: | Value-at-Risk | CAViaR | GARCH | combined forecasts | quality assessment | risk management |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.2478/fiqf-2018-0013 [DOI] 104911552X [GVK] hdl:10419/197412 [Handle] |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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