Performance and conservatism of monthly FHS VaR : an international investigation
Year of publication: |
2010
|
---|---|
Authors: | Chrétien, Stéphane ; Coggins, Frank |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 19.2010, 5, p. 323-333
|
Subject: | VaR models with filtered historical simulation | GARCH models | Unconditional and conditional coverage tests | Conservatism tests | Schätzung | Estimation | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Simulation | Risikomaß | Risk measure | Kapitaleinkommen | Capital income |
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