Value at Risk (VaR) historical approach : could it be more historical and representative of the real financial risk environment?
Year of publication: |
June 2017
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Authors: | Vasileiou, Evangelos |
Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 7.2017, 4, p. 951-974
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Subject: | Value at Risk | Risk Analysis | Volatility Regimes | US Stock Market | Eurozone Stock Market | Risk Measures Accuracy | Risikomaß | Risk measure | Volatilität | Volatility | Risiko | Risk | Portfolio-Management | Portfolio selection | Aktienmarkt | Stock market | Messung | Measurement | Risikomanagement | Risk management |
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