Value at Risk models of autoregressive quantiles for improved performance on financial criteria
Year of publication: |
2017
|
---|---|
Authors: | Mitrodima, Gelly |
Other Persons: | Oberoi, Jaideep S. (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Autokorrelation | Autocorrelation |
Extent: | 1 Online-Ressource (41 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 25, 2017 erstellt |
Other identifiers: | 10.2139/ssrn.2649348 [DOI] |
Classification: | G11 - Portfolio Choice ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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