The impact of stationarity assessment on studies of volatility and value-at-risk.

DOI10.1016/S0895-7177(01)00128-5zbMath1090.91539MaRDI QIDQ1600541

R. Smith

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

zbMATH Keywords

Value at risk; Test of stationarity

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

An approach to VaR for capital markets with Gaussian mixture

Uses Software

• R
• RiskMetrics

Cites Work

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