A comparison of several time-series models for assessing the value at risk of shares
From MaRDI portal
Publication:2722300
DOI10.1002/asmb.424zbMath0967.91063MaRDI QIDQ2722300
Walter Zucchini, Kristin Neumann
Publication date: 11 July 2001
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.424
time series; stochastic volatility; GARCH; value at risk; hidden Markov; banking supervision; series of returns
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62P30: Applications of statistics in engineering and industry; control charts
91B84: Economic time series analysis
Related Items
Cites Work