Value at risk models in Indian markets : a predictive ability evaluation study
Year of publication: |
2019
|
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Authors: | Goel, Kushagra ; Oswal, Sunny |
Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 9.2019, 8, p. 2824-2838
|
Subject: | Value-at-Risk | Monte Carlo Simulation | Implied Volatility | Historical Based Approach | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Simulation | Theorie | Theory | Indien | India | Portfolio-Management | Portfolio selection |
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