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scientific article; zbMATH DE number 1449652 - MaRDI portal

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Publication:4955690

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zbMath0957.62088MaRDI QIDQ4955690

Rakhal D. Davé, Gerhard Stahl

Publication date: 21 May 2000

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

portfolio performance measures GARCH risk forecasting covariance stochastic modelling VaR

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

On the appropriateness of inappropriate VaR models ⋮ Mark to market value at risk

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