Using CAViaR models with implied volatility for value-at-risk estimation
Year of publication: |
2013
|
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Authors: | Jeon, Jooyoung ; Taylor, James W. |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 32.2013, 1, p. 62-74
|
Subject: | Volatilität | Volatility | Risikomaß | Risk measure | Schätzung | Estimation | Schätztheorie | Estimation theory |
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