Value at Risk Estimation

DOI10.1007/978-3-642-17254-0_12zbMath1229.91156OpenAlexW2155169601MaRDI QIDQ3112463

Ying Chen, Jun Lu

Publication date: 10 January 2012

Published in: Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-17254-0_12

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps ⋮ A robust statistical approach to select adequate error distributions for financial returns ⋮ A robust closed-form estimator for the GARCH(1,1) model

Uses Software

• CAViaR

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