An Extensive Comparison of Some Well‐Established Value at Risk Methods (Q6088259)
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scientific article; zbMATH DE number 7777530
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Extensive Comparison of Some Well‐Established Value at Risk Methods |
scientific article; zbMATH DE number 7777530 |
Statements
An Extensive Comparison of Some Well‐Established Value at Risk Methods (English)
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13 December 2023
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backtest
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CAViaR
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extreme value theory
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filtered historical simulation
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higher order moments
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