The impact of stationarity assessment on studies of volatility and value-at-risk.
type: Item
instance of: scholarly article
title: The impact of stationarity assessment on studies of volatility and value-at-risk.
zbMATH Open document ID: 1090.91539
DOI: 10.1016/S0895-7177(01)00128-5
author: R. Smith
published in: Mathematical and Computer Modelling
publication date: 2002-06-13T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 1755439
zbMATH Keywords: Value at risk
zbMATH Keywords: Test of stationarity
describes a project that uses: R
describes a project that uses: RiskMetrics
MaRDI profile type: Publication
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full work available at URL: s0895-7177(01)00128-5
OpenAlex ID: W2156213427
description: scientific article; zbMATH DE number 1755439