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Estimation and performance assessment of Value-at-Risk and expected shortfall based on long-memory GARCH-class models
Title Estimation and performance assessment of Value-at-Risk and expected shortfall based on long-memory GARCH-class models Author info Chaker Aloui, Hela Ben Hamida Author Aloui Chaker Co-authors Hamida Hela Ben Source document Finance a úvěr : Czech journal of economics and finance. Roč. 65, č. 1 (2015), s. 30-54. - Praha : UK Praha, Fakulta sociálních věd, 2015. ISSN 0015-1920 Document kind schedule of articles from periodics Language English Country of Edition Czech Republic systematics 519.86 - Teória ekonomicko-matematických modelov Keywords modely * predvídanie * model GARCH * model Value at Risk * riziko trhové * trh akciový * volatilita Annotation Význam asymetrie a LM (long memory) v modelovaní, predvídanie podmienenej volatility a trhového rizika na akciových trhoch v regióne GCC (Gulf Cooperation Council). Rada pre spoluprácu v Perzskom zálive (GCC). Modely GARCH, ARCH. Database ARTICLES References PERIODIKÁ-Súborný záznam periodika Numbers 2015: 1-6
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