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

DOI10.1016/S0377-2217(02)00776-2MaRDI QIDQ1406485zbMATH OpenFDO

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)

zbMATH Keywords

RiskARCH modelsFactor analysisFinancial modellingValue at risk

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

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Cites work

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

Cited in

(1)

• Algorithmic Applications in Management

Describes a project that uses

Uses Software

• RiskMetrics

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