A comparison of several time-series models for assessing the value at risk of shares (Q2722300)
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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 |
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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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