VaR prediction under long memory in volatility
Year of publication: |
2011
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Authors: | Kinateder, Harald ; Wagner, Niklas F. |
Published in: |
Operations research proceedings 2010 : selected papers of the annual International Conference of the German Operations Research Society (GOR) at Universität der Bundeswehr München, September 1 - 3, 2010. - Berlin : Springer, ISBN 3-642-20008-7. - 2011, p. 123-128
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Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Schätzung | Estimation |
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