The Validation of Filtered Historical VaR Models
Year of publication: |
2017
|
---|---|
Authors: | Gurrola-Perez, Pedro |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Theorie | Theory | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model |
Extent: | 1 Online-Ressource (19 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 14, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.3037099 [DOI] |
Classification: | G32 - Financing Policy; Capital and Ownership Structure ; G11 - Portfolio Choice ; C52 - Model Evaluation and Testing |
Source: | ECONIS - Online Catalogue of the ZBW |
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