The Impact of Parameter and Model Uncertainty on Market Risk Predictions from GARCH-Type Models
Year of publication: |
2019
|
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Authors: | Ardia, David |
Other Persons: | Kolly, Jeremy (contributor) ; Trottier, Denis-Alexandre (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Risiko | Risk | Entscheidung unter Unsicherheit | Decision under uncertainty | Marktrisiko | Market risk |
Extent: | 1 Online-Ressource (32 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Forecasting, 36(7), pp. 808–823, 2017 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 3, 2017 erstellt |
Other identifiers: | 10.2139/ssrn.2688633 [DOI] |
Classification: | C53 - Forecasting and Other Model Applications ; c58 ; G17 - Financial Forecasting ; G32 - Financing Policy; Capital and Ownership Structure |
Source: | ECONIS - Online Catalogue of the ZBW |
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