Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis.

DOI10.1016/S0377-2217(02)00776-2zbMATH Open1033.90046MaRDI QIDQ1406485FDOQ1406485

Authors: J. David Cabedo Semper, Ismael Moya Clemente 

Publication date: 4 September 2003

Published in: European Journal of Operational Research (Search for Journal in Brave)

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zbMATH Keywords

RiskARCH modelsFactor analysisFinancial modellingValue at risk

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ARCH modeling in finance. A review of the theory and empirical evidence
• Common Persistence in Conditional Variances
• Value at risk: Recent advances
• Prediction in dynamic models with time-dependent conditional variances
• Scenario simulation: Theory and methodology

Cited In (1)

• Algorithmic Applications in Management

Uses Software

• RiskMetrics

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