Realized quantity extended conditional autoregressive value-at-risk models
Pit Götz
| Year of publication: |
2023
|
|---|---|
| Authors: | Götz, Pit |
| Subject: | value-at-risk (VaR) | expected shortfall (ES) | quantile regression | high-frequency data | realized variance (RV) | intraday jumps | Risikomaß | Risk measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Varianzanalyse | Analysis of variance | Schätzung | Estimation | Theorie | Theory | Kapitaleinkommen | Capital income | Regressionsanalyse | Regression analysis | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model | Aktienindex | Stock index |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/jor.2023.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014487299