A comparison of several time-series models for assessing the value at risk of shares (Q2722300): Difference between revisions
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| Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank | |||
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| Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank | |||
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Latest revision as of 17:10, 3 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A comparison of several time-series models for assessing the value at risk of shares |
scientific article |
Statements
A comparison of several time-series models for assessing the value at risk of shares (English)
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11 July 2001
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value at risk
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time series
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series of returns
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banking supervision
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GARCH
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stochastic volatility
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hidden Markov
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