Comparison of VaR estimation methods for different forecasting samples for Russian stocks
Year of publication: |
2011
|
---|---|
Authors: | Shcherba, Alexandr |
Published in: |
Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 24.2011, 4, p. 58-70
|
Publisher: |
Publishing House "SINERGIA PRESS" |
Subject: | VaR | GARCH | market risk | back testing |
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