Incorporating volatility updating into the historical simulation method for value-at-risk
Year of publication: |
2004
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Authors: | Hull, John ; White, Alan |
Published in: |
Innovations in risk management : seminal papers from the Journal of Risk. - London : Risk Books, ISBN 1-904339-28-X. - 2004, p. 35-53
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Subject: | Simulation | Volatilität | Volatility | Risikomaß | Risk measure |
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