Hull-White's value at risk model : case study of Baltic equities market
Nikola Radivojević, Nikola V. Ćurčić, Djurdjica Dj. Vukajlović
| Year of publication: |
October 2017
|
|---|---|
| Authors: | Radivojević, Nikola ; Ćurčić, Nikola V. ; Vukajlović, Djurdjica Dj. |
| Published in: |
Journal of business economics and management. - Vilnius : VTGU Press Technika, ISSN 1611-1699, ZDB-ID 2208925-1. - Vol. 18.2017, 5, p. 1023-1041
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| Subject: | value at risk | historical simulation | Hull-White model | volatility | GARCH | emerging markets | market risk | Risikomaß | Risk measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Simulation | Schwellenländer | Emerging economies | Schätzung | Estimation | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3846/16111699.2017.1357049 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011781020