VaR forecasting : daily versus intradaily data
Year of publication: |
2016
|
---|---|
Authors: | Wöhrle, Ralf Ferdinand |
Published in: |
Economic & financial modelling : a journal of the European Economics and Financial Centre. - London, ISSN 1350-7419, ZDB-ID 1288650-6. - Vol. 23.2016, 4, p. 153-198
|
Subject: | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Statistischer Test | Statistical test | Deutschland | Germany | USA | United States | 2006-2016 |
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