The Comparison of Volatility Forecasting Models in VaR Calculations and Backtesting according to Basel II: An Application on ISE 100 Index
Year of publication: |
2011
|
---|---|
Authors: | Korkmaz, Turhan ; Bostanci, Ahmet |
Published in: |
Business and Economics Research Journal. - İktisadi ve İdari Bilimler Fakültesi, ISSN 1309-2448. - Vol. 2.2011, 3, 17, p. 1-1
|
Publisher: |
İktisadi ve İdari Bilimler Fakültesi |
Subject: | Volatility | Basel II | Backtesting | Value-at-Risk |
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