Computation of Portfolio VaRs with GARCH-Type Volatility
Year of publication: |
2013
|
---|---|
Authors: | Xu, Dinghai |
Other Persons: | Wirjanto, Tony S. (contributor) |
Publisher: |
[2013]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Volatilität | Volatility | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model | Risikomaß | Risk measure | ARCH-Modell | ARCH model |
Description of contents: | Abstract [papers.ssrn.com] |
Extent: | 1 Online-Ressource |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2013 erstellt Volltext nicht verfügbar |
Classification: | C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
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