<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.
Salvato in:
| Autore principale: | |
|---|---|
| Natura: | Capitolo di libro |
| Soggetti: | |
| Tags: |
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
Documenti analoghi: <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