Varying the VaR for unconditional and conditional environments
Year of publication: |
2007
|
---|---|
Authors: | Cotter, John |
Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 26.2007, 8, p. 1338-1354
|
Subject: | Risikomaß | Risk measure | Ausreißer | Outliers | ARCH-Modell | ARCH model | Index-Futures | Index futures | EU-Staaten | EU countries |
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