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Risk analysis and management currently have a strong presence in financial institutions, where high performance and energy efficiency are key requirements for acceleration systems, especially when it comes to intraday analysis. In this regard, we approach the estimation of the widely-employed...
Persistent link: https://www.econbiz.de/10011556579
estimation results for the VaR that beat classical GARCH-type, multivariate versions of GARCH and historical simulation …
Persistent link: https://www.econbiz.de/10014303883