Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …. Univariate as well as multivariate concepts are presented for the estimation of the conditional volatility. …