Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling
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Bibliographic InfoArticle provided by Springer in its journal Financial Markets and Portfolio Management.
Volume (Year): 20 (2006)
Issue (Month): 3 (September)
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Web page: http://www.springerlink.com/link.asp?id=119763
Value-at-risk; Bayesian analysis; GARCH; Historical simulation; Bootstrap resampling; C11; C50; G10;
Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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