<The> Efficiency of GARCH Models in Realizing Value at Risk Estimates
Určenie dôležitosti voľby modelu podmienenej volatility v rámci parametrického a semiparametrického prístupu pre odhad VaR.
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buchkapitel |
| Schlagworte: | |
| Tags: |
Keine Tags, Fügen Sie das erste Tag hinzu!
|
Ähnliche Einträge: <The> Efficiency of GARCH Models in Realizing Value at Risk Estimates
- Estimation and performance assessment of Value-at-Risk and expected shortfall based on long-memory GARCH-class models
- Modeling volatility of DAX index using GARCH model
- Model value at risk (VaR)
- Value at Risk Implementation in Business Practice
- FX Market Volatility Modelling: Can We Use Low-Frequency Data?
- Neistota v meraní miery neistoty metódami Value at Risk