Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment (Q1657604)
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scientific article; zbMATH DE number 6917212
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment |
scientific article; zbMATH DE number 6917212 |
Statements
Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment (English)
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13 August 2018
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Value-at-Risk
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forecasting
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wavelet decomposition
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regulatory back-testing
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