Less volatile value-at-risk estimation under a semi-parametric approach
Year of publication: |
2023
|
---|---|
Authors: | Huang, Shih-Feng ; Wang, David K. |
Published in: |
Asia-Pacific journal of financial studies. - Hoboken, NJ [u.a.] : Wiley-Blackwell, ISSN 2041-6156, ZDB-ID 2548470-9. - Vol. 52.2023, 3, p. 374-393
|
Subject: | Data sequence | Fluctuation reduction | Generalized nearly isotonic regression | Value-at-risk | Risikomaß | Risk measure | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Schätzung | Estimation | ARCH-Modell | ARCH model | Regressionsanalyse | Regression analysis |
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