Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
Year of publication: |
2012
|
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Authors: | Chen, Cathy W. S. ; Gerlach, Richard ; Hwang, Bruce B. K. ; McAleer, Michael |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 28.2012, 3, p. 557-574
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Subject: | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Asien | Asia | VAR-Modell | VAR model |
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