Uncertainty in value-at-risk estimates under parametric and non-parametric modeling

Financial Markets and Portfolio Management

Volumn 20, Issue 3, 2006, Pages 243-264

  Aussenegg, Wolfgang ^a   Miazhynskaia, Tatiana ^a  

^a VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

Author keywords

Bayesian analysis; Bootstrap resampling; GARCH; Historical simulation; Value at risk

Indexed keywords

EID: 33748417885     PISSN: 15554961     EISSN: 1555497X     Source Type: Journal    
DOI: 10.1007/s11408-006-0020-8     Document Type: Article

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