Title of article
The use of GARCH models in VaR estimation
Author/Authors
Timotheos Angelidis، نويسنده , , Alexandros Benos، نويسنده , , Stavros Degiannakis، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
24
From page
105
To page
128
Keywords
Volatility forecasting , Backtesting , Quantile loss function , GARCH estimation , VALUE AT RISK
Journal title
Statistical Methodology
Serial Year
2004
Journal title
Statistical Methodology
Record number
292914
Link To Document