Single-index and portfolio models for forecasting value-at-risk thresholds
Michael McAleer and Bernardo Da Veiga
| Year of publication: |
2008
|
|---|---|
| Authors: | McAleer, Michael ; Da Veiga, Bernardo |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 27.2008, 3, p. 217-235
|
| Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Prognoseverfahren | Forecasting model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003738590