Hochschulschrift
Zur Prognose des Value-at-Risk und Expected Shortfall mit zeitdiskreten Stochastic-Volatility-Modellen : empirische Ergebnisse für Finanzmarktzeitreihen
- Alternative title
-
On forecasting the value-at-risk and expected shortfall with discrete-time stochastic-volatility models
- Location
-
Deutsche Nationalbibliothek Frankfurt am Main
- Extent
-
Online-Ressource
- Language
-
Deutsch
- Notes
-
Saarbrücken, Universität des Saarlandes, Diss., 2015
- Keyword
-
Finanzmarkt
Risikomaß
Stochastischer Prozess
ARCH-Modell
Stochastische Volatilität
Prognoseverfahren
Kapitalmarkt
Ökonometrisches Modell
Prognosequalität
Zeitreihe
Value at Risk
Zeitreihenanalyse
Stochastik
Kreditmarkt
Prognose
Aktienindex
SP500
GARCH-Prozess
Stichprobennahme
Ergebnis
ARCH-Prozess
Kapitalmarkt
Value at Risk
Stochastischer Prozess
ARCH-Prozess
Volatilität
Prognoseverfahren
Value at Risk ; GARCH-Prozess ; Zeitreihenanalyse
- Event
-
Veröffentlichung
- (where)
-
Saarbrücken
- (who)
-
Saarländische Universitäts- und Landesbibliothek
- (when)
-
2015
- Creator
- Contributor
-
Friedmann, Ralph
- URN
-
urn:nbn:de:bsz:291-scidok-62088
- 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:
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Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Object type
- Hochschulschrift
Associated
- Dimitrov, Valentin S.
- Friedmann, Ralph
- Saarländische Universitäts- und Landesbibliothek
Time of origin
- 2015
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Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
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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
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Value-at-Risk and expected shortfall for rare events
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