Dynamic factor Value-at-Risk for large heteroskedastic portfolios
Sirio Aramonte; Marius del Giudice Rodriguez; Jason Wu
| Year of publication: |
2013
|
|---|---|
| Authors: | Aramonte, Sirio ; Giudice Rodriguez, Marius del ; Wu, Jason |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 11, p. 4299-4309
|
| Subject: | Risk management | Value-at-Risk | Dynamic factor models | Risikomaß | Risk measure | Risikomanagement | Portfolio-Management | Portfolio selection | Theorie | Theory | Heteroskedastizität | Heteroscedasticity | Faktorenanalyse | Factor analysis | Institutioneller Investor | Institutional investor |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010247041