The Use of GARCH Models in VaR Estimation
Year of publication: |
2010
|
---|---|
Authors: | Angelidis, Timotheos ; Benos, Alexandros ; Degiannakis, Stavros |
Institutions: | Department of Economics, University of Peloponnese |
Subject: | Value at Risk | GARCH estimation | Backtesting | Volatility forecasting | Quantile Loss Function |
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