Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Year of publication: |
2009
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Authors: | Zikovic, Sasa ; Filer, Randall |
Publisher: |
Munich : Center for Economic Studies and ifo Institute (CESifo) |
Subject: | Value at Risk | Kapitalertrag | Extremwertanalyse | Bootstrap-Verfahren | Schätztheorie | Theorie | Aktienindex | Schätzung | Welt | value at risk | expected shortfall | hybrid historical simulation | extreme value theory | bootstrapping |
Series: | CESifo Working Paper ; 2820 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 611987724 [GVK] hdl:10419/30419 [Handle] |
Classification: | G24 - Investment Banking; Venture Capital; Brokerage ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications |
Source: |
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa, (2009)
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Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets
Zikovic, Sasa, (2009)
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Ranking of VaR and ES Models: Performance in developed and emerging markets
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
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Ranking of VaR and ES Models : performance in developed and emerging markets
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