Prediction of financial downside-risk with heavy-tailed conditional distributions
Stefan Mittnik; Marc S. Paolella
| Year of publication: |
2003
|
|---|---|
| Authors: | Mittnik, Stefan ; Paolella, Marc S. |
| Publisher: |
Frankfurt am Main : CFS |
| Subject: | Finanzmarkt | Financial market | Prognoseverfahren | Forecasting model | Volatilität | Volatility | ARCH-Modell | ARCH model | Rendite | Yield | Wechselkurs | Exchange rate | Schätzung | Estimation | Theorie | Theory | USA | United States | Großbritannien | United Kingdom | Kanada | Canada | Deutschland | Germany | Japan | Schweiz | Switzerland | Risikomaß | Risk measure |
| Extent: | 20 S graph. Darst |
|---|---|
| Series: | CFS working paper series. - Frankfurt, M. : CFS, ZDB-ID 2523669-6. - Vol. No. 2003,04 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Internetausg.: http://www.ifk-cfs.de/papers/03_04.pdf |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001788591