Robust conditional variance and value-at-risk estimation
Debbie J. Dupuis, Nicolas Papageorgiou, and Bruno Rémillard
| Year of publication: |
2015
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|---|---|
| Authors: | Dupuis, Debbie J. ; Papageorgiou, Nicolas A. ; Rémillard, Bruno |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 13.2015, 4, p. 896-921
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| Subject: | bias-robust | exponentially weighted moving average | M-estimator | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Varianzanalyse | Analysis of variance | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbu024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011417831