A detailed comparison of value at risk estimates (Q2227451)
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scientific article; zbMATH DE number 7310466
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A detailed comparison of value at risk estimates |
scientific article; zbMATH DE number 7310466 |
Statements
A detailed comparison of value at risk estimates (English)
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15 February 2021
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value at risk
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parametric model
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extreme value theory model
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GARCH model
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risk management
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0.8400431275367737
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0.8328008651733398
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0.8220530152320862
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0.8189701437950134
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0.8182167410850525
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