The information content of the VDAX volatility index and backtesting daily value-at-risk models
Year of publication: |
2015
|
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Authors: | Badshah, Ihsan Ullah |
Published in: |
International journal of financial markets and derivatives. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7130, ZDB-ID 2550152-5. - Vol. 4.2015, 3/4, p. 213-230
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Subject: | Volatilität | Volatility | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Informationswert | Information value | Aktienindex | Stock index |
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