Modelling daily value-at-risk using realized volatility and Arch type models
P. Giot and S. Laurent
| Year of publication: |
2001
|
|---|---|
| Authors: | Giot, Pierre ; Laurent, Sébastien |
| Publisher: |
Maastricht |
| Subject: | ARCH-Modell | ARCH model | Risikomaß | Risk measure |
| Extent: | 24 S graph. Darst |
|---|---|
| Series: | Research memorandum / METEOR. - Maastricht, ZDB-ID 2117868-9. - Vol. 01,026 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Literaturverz. S. 14 - 17 Internetausg.: http://www-edocs.unimaas.nl/abs/rm01026.htm |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001638521