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A detailed comparison of value at risk estimates - MaRDI portal

A detailed comparison of value at risk estimates (Q2227451)

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A detailed comparison of value at risk estimates
scientific article

    Statements

    title
    A detailed comparison of value at risk estimates (English)
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    author
    Pilar Abad
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    Sonia Benito
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    publication date
    15 February 2021
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    zbMATH Keywords
    value at risk
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    parametric model
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    extreme value theory model
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    GARCH model
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    risk management
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    Identifiers

    zbMATH DE Number
    7310466
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    OpenAlex ID
    W1996547311
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