Computational tools for the analysis of market risk

DOI10.1023/A:1022267720606zbMath1037.91535OpenAlexW1600497364MaRDI QIDQ1812119

Santiago Carrillo, Alberto Suárez

Publication date: 18 June 2003

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1022267720606

zbMATH Keywords

risk analysisautoregressive processesmixture modelsheteroskedasticityValue-at-RiskExtreme Value TheoryMaxVaRShortfall

Mathematics Subject Classification ID

Uses Software

• Unnamed Item

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