Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ardia, David & Hoogerheide, Lennart F., 2010.
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More about this item
KeywordsValue-at-risk; Bayesian analysis; GARCH; Historical simulation; Bootstrap resampling; C11; C50; G10;
- 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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