Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis.

DOI10.1016/S0377-2217(02)00776-2zbMath1033.90046MaRDI QIDQ1406485

J. David Cabedo Semper, Ismael Moya Clemente

Publication date: 4 September 2003

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

RiskARCH modelsFinancial modellingValue at riskFactor analysis

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Uses Software

• RiskMetrics

Cites Work

• Unnamed Item
• ARCH modeling in finance. A review of the theory and empirical evidence
• Prediction in dynamic models with time-dependent conditional variances
• Scenario simulation: Theory and methodology
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Common Persistence in Conditional Variances

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