Time-scaling of value-at-risk in GARCH(1,1) and AR(1)-GARCH(1,1) processes
Year of publication: |
2007
|
---|---|
Authors: | Brummelhuis, Raymond ; Kaufmann, Roger |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 9.2006/07, 4, p. 39-94
|
Subject: | Risikomaß | Risk measure | ARCH-Modell | ARCH model |
-
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen, (2021)
-
Specht, Katja, (2000)
-
Conditional density and value-at-risk prediction of Asian currency exchange rates
Mittnik, Stefan, (2000)
- More ...
-
Ruin theory revisited : stochastic models for operational risk
Embrechts, Paul, (2004)
-
Kaufmann, Roger, (2004)
-
Embrechts, Paul, (2009)
- More ...