Zur Prognose des Value-at-Risk und Expected Shortfall mit zeitdiskreten Stochastic-Volatility-Modellen : empirische Ergebnisse für Finanzmarktzeitreihen
- Location
-
Deutsche Nationalbibliothek Frankfurt am Main
- Extent
-
Online-Ressource
- Language
-
Deutsch
- Keyword
-
Kapitalmarkt
Ökonometrisches Modell
Prognosequalität
Value at Risk
GARCH-Prozess
Prognose
Zeitreihe
Stochastik
Zeitreihenanalyse
Value at Risk ; GARCH-Prozess ; Zeitreihenanalyse
- Event
-
Veröffentlichung
- (where)
-
Saarbrücken
- (who)
-
universaar, Universitätsverlag des Saarlandes
- (when)
-
2015
- Creator
- URN
-
urn:nbn:de:bsz:291-universaar-1445
- Rights
-
Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
-
25.03.2025, 1:53 PM CET
Data provider
This object is provided by:
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Dimitrov, Valentin S.
- universaar, Universitätsverlag des Saarlandes
Time of origin
- 2015
Other Objects (12)
Zur Prognose des Value-at-Risk und Expected Shortfall mit zeitdiskreten Stochastic-Volatility-Modellen : empirische Ergebnisse für Finanzmarktzeitreihen
Zur Prognose des Value-at-Risk und Expected Shortfall mit zeitdiskreten Stochastic-Volatility-Modellen : empirische Ergebnisse für Finanzmarktreihen
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Value-at-risk for South-East Asian stock markets: Stochastic volatility vs. GARCH
Value-at-Risk and expected shortfall for rare events
Value-at-Risk and expected shortfall for rare events
A fast, accurate method for value-at-risk and expected shortfall
Value-at-Risk and Expected Shortfall when there is long range dependence
Value-at-risk and expected shortfall when there is long range dependence
On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
Conditional value-at-risk in stochastic programs with mixed-integer recourse
Zur Prognose des Value-at-Risk und Expected Shortfall mit zeitdiskreten Stochastic-Volatility-Modellen : empirische Ergebnisse für Finanzmarktzeitreihen
Zur Prognose des Value-at-Risk und Expected Shortfall mit zeitdiskreten Stochastic-Volatility-Modellen : empirische Ergebnisse für Finanzmarktreihen
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Value-at-risk for South-East Asian stock markets: Stochastic volatility vs. GARCH
Value-at-Risk and expected shortfall for rare events
Value-at-Risk and expected shortfall for rare events
A fast, accurate method for value-at-risk and expected shortfall
Value-at-Risk and Expected Shortfall when there is long range dependence
Value-at-risk and expected shortfall when there is long range dependence
On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
Conditional value-at-risk in stochastic programs with mixed-integer recourse
Zur Prognose des Value-at-Risk und Expected Shortfall mit zeitdiskreten Stochastic-Volatility-Modellen : empirische Ergebnisse für Finanzmarktzeitreihen
Zur Prognose des Value-at-Risk und Expected Shortfall mit zeitdiskreten Stochastic-Volatility-Modellen : empirische Ergebnisse für Finanzmarktreihen
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Value-at-risk for South-East Asian stock markets: Stochastic volatility vs. GARCH
Value-at-Risk and expected shortfall for rare events
Value-at-Risk and expected shortfall for rare events
A fast, accurate method for value-at-risk and expected shortfall
Value-at-Risk and Expected Shortfall when there is long range dependence
Value-at-risk and expected shortfall when there is long range dependence
On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error