Analytical VaR for international portfolios with common jumps (Q662223)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6008594
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Analytical VaR for international portfolios with common jumps |
scientific article; zbMATH DE number 6008594 |
Statements
Analytical VaR for international portfolios with common jumps (English)
0 references
21 February 2012
0 references
international portfolios
0 references
exchange rate risk
0 references
jump-diffusion
0 references
backtesting
0 references
out-of-sample fitting
0 references
0 references
0 references
0.8997462391853333
0 references
0.7714382410049438
0 references
0.7714382410049438
0 references
0.7594438195228577
0 references
0.708457350730896
0 references
