Forecasting VaR models under different volatility processes and distributions of return innovations
Year of publication: |
2014
|
---|---|
Authors: | Dendramis, Yiannis ; Spungin, Giles E. ; Tzavalis, Elias |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 33.2014, 7, p. 515-531
|
Subject: | risk measures | value at risk | GARCH | EGARCH and regime-switching models | extreme value theory | skewed distributions | Risikomaß | Risk measure | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Theorie | Theory | Kapitaleinkommen | Capital income | Ausreißer | Outliers |
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