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~isPartOf:"Journal of banking & finance"
~person:"Ziggel, Daniel"
~subject:"1999-2009"
~subject:"ARCH model"
~subject:"Estimation"
~subject:"Value-at-Risk"
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1999-2009
ARCH model
Estimation
Value-at-Risk
Forecasting model
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Prognoseverfahren
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Risikomaß
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Risk measure
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ARCH-Modell
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Backtesting
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Basel Accord
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Model risk
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Multivariate Analyse
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Multivariate analysis
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Portfolio selection
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Ziggel, Daniel
Weiß, Gregor
2
Wied, Dominik
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Berens, Tobias
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Journal of banking & finance
Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
4
Journal of risk
2
Acta Universitatis Danubius / Oeconomica
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Journal of Banking & Finance
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Wirtschafts- und sozialstatistisches Archiv : ASTA ; eine Zeitschrift der Deutschen Statistischen Gesellschaft
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ECONIS (ZBW)
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Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik
;
Weiß, Gregor
;
Ziggel, Daniel
- In:
Journal of banking & finance
72
(
2016
),
pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
Saved in:
2
A new set of improved Value-at-Risk backtests
Ziggel, Daniel
;
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
- In:
Journal of banking & finance
48
(
2014
),
pp. 29-41
Persistent link: https://www.econbiz.de/10010506942
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