VaR based on SMA, EWMA and GARCH(1,1) Volatility models

By Julijana Angelovska

Lots of effort has been expended in improving volatility models since better forecasts translate in to better pricing of assets and better risk management. However the question as to what model should... This description may be from another edition of this product.

• Format: Paperback
• Language: English
• ISBN: 3639315332
• ISBN13: 9783639315332
• Release Date: December 2010
• Publisher: VDM Verlag
• Length: 64 Pages
• Weight: 0.23 lbs.
• Dimensions: 0.1" x 6.0" x 9.0"