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Frankfurt School of Finance and Management
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai
;
Cremers, Heinz
;
Sanddorf, Walter
-
Frankfurt School of Finance and Management
-
2014
.
Univariate
as well as multivariate concepts are presented for the estimation of the conditional volatility. …
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