Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis. (Q1406485)
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scientific article; zbMATH DE number 1974931
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| English | Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis. |
scientific article; zbMATH DE number 1974931 |
Statements
Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis. (English)
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4 September 2003
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Value at risk
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ARCH models
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Factor analysis
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Risk
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Financial modelling
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0.8011043071746826
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0.7956416606903076
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0.7729532122612
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0.7659403681755066
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