Empirical analysis of GARCH models in value at risk estimation
Year of publication: |
2006
|
---|---|
Authors: | So, Mike Ka-pui ; Yu, Philip L. H. |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 16.2006, 2, p. 180-197
|
Subject: | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Aktienindex | Stock index | Welt | World |
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