Value-at-Risk Prediction: A Comparison of Alternative Strategies (Q5226705)
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scientific article; zbMATH DE number 7088127
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Value-at-Risk Prediction: A Comparison of Alternative Strategies |
scientific article; zbMATH DE number 7088127 |
Statements
Value-at-Risk Prediction: A Comparison of Alternative Strategies (English)
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1 August 2019
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empirical finance
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extreme value theory
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fat tails
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GARCH
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quantile regression
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