مرکز منطقه ای اطلاع رساني علوم و فناوري - Accurate value-at-risk forecasting based on the normal-GARCH model

Title of article :

Accurate value-at-risk forecasting based on the normal-GARCH model

Author/Authors :

Christoph Hartz، نويسنده , , Stefan Mittnik، نويسنده , , Marc Paolella، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

2295

To page :

2312

Keywords :

GARCH , Bootstrap , value at risk

Journal title :

Computational Statistics and Data Analysis

Serial Year :

2006

Journal title :

Computational Statistics and Data Analysis

Record number :

145234

Link To Document :