Semiparametric estimation of Value at Risk (Q4458356)
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scientific article; zbMATH DE number 2060123
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Semiparametric estimation of Value at Risk |
scientific article; zbMATH DE number 2060123 |
Statements
Semiparametric estimation of Value at Risk (English)
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17 March 2004
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aggregate returns
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volatility
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quantile
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choice of decay factor
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0.8340319991111755
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0.829198956489563
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0.8232780694961548
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0.817559003829956
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0.816480278968811
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