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Estimation and performance assessment of value-at-risk and expected shortfall based on long-memory GARCH-class models

  1. Author Aloui, Chaker (Author)
    TitleEstimation and performance assessment of value-at-risk and expected shortfall based on long-memory GARCH-class models / Chaker Aloui, Hela Ben Hamida
    Other author Ben Hamida, Hela (Author)
    Phys.des.1 ilustrace
    NoteObsahuje poznámky v textu a reference
    Source document Finance a úvěr. -- Roč. 65, č. 1 (2015), s. 30-54
    Subj. Headings ekonometrické modely * tržní ekonomika * finanční rizika
    Conspect336.7 - Finance
    UDC519.862 * 339.1 * 336.7:330.131.7
    CountryCzech Republic
    LanguageEnglish
    OwnerKladno SVK
    Doc. KindRegional documents - articles
    References - Source document
Number of the records: 1  

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