Value at risk estimation by threshold stochastic volatility model
Alex YiHou Huang
| Year of publication: |
2015
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|---|---|
| Authors: | Huang, Alex |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 47.2015, 43/45, p. 4884-4900
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| Subject: | value at risk | stochastic volatility | threshold model | Theorie | Theory | Volatilität | Volatility | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011380922