Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates
Sun-Yong Choi
| Year of publication: |
June 2016
|
|---|---|
| Authors: | Choi, Sun-Yong |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 10.2016, 2, p. 1-34
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| Subject: | CGMY process | foreign exchange rate | value-at-risk | historical simulation | GARCH | extreme value theory | Wechselkurs | Exchange rate | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Simulation | Ausreißer | Outliers | Volatilität | Volatility | Schätztheorie | Estimation theory |
| 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/10011527478