Nonparametric forward-looking value-at-risk
Year of publication: |
2014
|
---|---|
Authors: | Nossman, Marcus ; Vilhelmsson, Anders |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 16.2013/2014, 4, p. 103-123
|
Subject: | Cboe Global Markets | Financial crisis Generalised autoregressive conditional heteroscedasticity (Garch) | Implied volatility | Value-at-risk (VAR) | Original research | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Volatilität | Volatility | Finanzkrise | Financial crisis | Theorie | Theory | Aktienindex | Stock index |
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