Improving Value-at-Risk estimation from the normal EGARCH model
Year of publication: |
2017
|
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Authors: | Gorji, Mahsa ; Sajjad, Rasoul |
Subject: | Bootstrap | EGARCH | GARCH | Value-at-Risk | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Bootstrap-Verfahren | Bootstrap approach | Schätztheorie | Estimation theory | Aktienindex | Stock index | Volatilität | Volatility | Schätzung | Estimation |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.5709/ce.1897-9254.230 [DOI] hdl:10419/162107 [Handle] |
Classification: | c58 ; G32 - Financing Policy; Capital and Ownership Structure ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: | ECONIS - Online Catalogue of the ZBW |
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