Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns
Cherif Guermat; Richard D. F. Harris
| Year of publication: |
2002
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| Authors: | Guermat, Cherif ; Harris, Richard D. F. |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 18.2002, 3, p. 409-419
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| Subject: | Prognoseverfahren | Forecasting model | Theorie | Theory | Risikomaß | Risk measure | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: International journal of forecasting |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001690084