Realized quantity extended conditional autoregressive value-at-risk models
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 |
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