Singular spectrum analysis for value at risk in stochastic volatility models
Josu Arteche, Javier García-Enríquez
| Year of publication: |
2022
|
|---|---|
| Authors: | Arteche, Josu ; García-Enríquez, Javier |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 41.2022, 1, p. 3-16
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| Subject: | forecasting | signal extraction | singular spectrum analysis | stochastic volatility | value at risk | Volatilität | Volatility | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2796 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012796265