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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 - 2014
GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010331352
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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 - 2014
GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010237661
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Cálculo del VaR con volatilidad no constante en R.
Alonso, Julio César; Seeman, Paul - UNIVERSIDAD ICESI - 2010
, estimación mediante medias móviles con ponderación exponencial (EWMA) y la estimación mediante modelos de la familia GARCH …
Persistent link: https://www.econbiz.de/10009358919
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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
GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010985133
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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Estimation of extreme value-at-risk : an EVT approach for quantile GARCH model
Yi, Yanping; Feng, Xingdong; Huang, Zhuo - In: Economics letters 124 (2014) 3, pp. 378-381
Persistent link: https://www.econbiz.de/10010495168
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Performance of value-at-risk averaging in the Nordic power futures market
Sveinsson, Jørgen Andersen; Frydenberg, Stein; … - In: The journal of energy markets 13 (2020) 3, pp. 25-55
Persistent link: https://www.econbiz.de/10012662208
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Backtesting global growth-at-Risk
Brownlees, Christian; Souza, André B. M. - In: Journal of monetary economics 118 (2021), pp. 312-330
Persistent link: https://www.econbiz.de/10012603779
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Value-at-risk prediction using option-implied risk measures
Schindelhauer, Kai; Chen Zhou - 2018
Persistent link: https://www.econbiz.de/10011920835
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Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model
Yi, Yanping; Feng, Xingdong; Huang, Zhuo - In: Economics Letters 124 (2014) 3, pp. 378-381
We proposed a method to estimate extreme conditional quantiles by combining quantile GARCH model of Xiao and Koenker …
Persistent link: https://www.econbiz.de/10010930717