Fractionally integrated Log-GARCH with application to value at risk and expected shortfall
Year of publication: |
November 2020
|
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Authors: | Feng, Yuanhua ; Beran, Jan ; Letmathe, Sebastian ; Ghosh, Sucharita |
Publisher: |
[Paderborn] : Universität Paderborn, Center for International Economics |
Subject: | FI-Log-GARCH | stationary solutions | finite fourth moments | covariance structure | rolling forecasting VaR and ES | traffic light test of ES | Theorie | Theory | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
Extent: | 1 Online-Ressource (circa 41 Seiten) Illustrationen |
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Series: | CIE working paper series. - Paderborn : [Verlag nicht ermittelbar], ZDB-ID 2499430-3. - Vol. no. 2020, 09 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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