What derives the bond portfolio value-at-risk : information roles of macroeconomic and financial stress factors
Year of publication: |
February 2016
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Authors: | Tu, Anthony H. ; Chen, Cathy Yi-Hsuan |
Publisher: |
Berlin : SFB 649, Humboldt-Universität zu Berlin |
Subject: | Nelson-Siegel factor model | Value-at-risk | Encompassing test | Backtesting | Conditional predictive ability | Theorie | Theory | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Statistischer Test | Statistical test | Faktorenanalyse | Factor analysis |
Extent: | 1 Online-Ressource (circa 49 Seiten) Illustrationen |
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Series: | SFB 649 discussion paper. - Berlin : [Verlag nicht ermittelbar], ISSN 1860-5664, ZDB-ID 2195055-6. - Vol. 2016-006 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Other identifiers: | hdl:10419/146175 [Handle] |
Classification: | G11 - Portfolio Choice ; g16 |
Source: | ECONIS - Online Catalogue of the ZBW |
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