Quantification of spread risk by means of historical simulation.

MaRDI QIDQ4543478zbMATH OpenFDO

Authors Christoph Frisch, Germar Knöchlein

Publication date 13 August 2002

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

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