Estimation of value-at-Risk on Romanian stock exchange using volatility forecasting models
Claudiu Ilie Opreana
| Year of publication: |
December 2013
|
|---|---|
| Authors: | Opreana, Claudiu Ilie |
| Published in: |
Expert journal of finance. - Sibiu : Sprint Investify, ISSN 2359-7712, ZDB-ID 2758885-3. - Vol. 1.2013, p. 4-18
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| Subject: | Value-at-Risk | volatility forecasting | EWMA | GARCH models | autocorrelation | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Rumänien | Romania | Autokorrelation | Autocorrelation | Schätzung | Estimation | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | hdl:11159/433 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011572395