Value-at-Risk in turbulence time
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More about this item
Keywords
Value-at-risk; GARCH model; Bootstrap; hit function; VaR evaluation.;All these keywords.
JEL classification:
- C0 - Mathematical and Quantitative Methods - - General
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2015-03-22 (Banking)
- NEP-RMG-2015-03-22 (Risk Management)
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