Evaluating VaR (Value-at-Risk)

By Joakim Skoog and David Enocksson

With this book we aim to contribute to the vast literature on conditional volatility models. Using the ARCH/GARCH class of models introduced in Engel s (1982) seminal paper we forecast one day ahead... This description may be from another edition of this product.

• Format: Paperback
• Language: English
• ISBN: 3659114154
• ISBN13: 9783659114151
• Release Date: June 2012
• Publisher: LAP Lambert Academic Publishing
• Length: 52 Pages
• Weight: 0.20 lbs.
• Dimensions: 0.1" x 6.0" x 9.0"