A Monte Carlo simulation approach to forecasting multi-period value-at-risk and expected shortfall using the FIGARCH-SKT specification
by Stavros Degiannakis; Pamela Dent and Christos Floros
| Year of publication: |
2014
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|---|---|
| Authors: | Degiannakis, Stavros ; Dent, Pamela ; Floros, Christos |
| Published in: |
The Manchester School. - Oxford [u.a.] : Wiley-Blackwell, ISSN 0025-2034, ZDB-ID 1418920-3. - Vol. 82.2014, 1, p. 71-102
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| Subject: | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution | Modellierung | Scientific modelling | ARCH-Modell | ARCH model | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010419583