Accurate value-at-risk forecasting based on the normal-GARCH model

Computational Statistics and Data Analysis

Volumn 51, Issue 4, 2006, Pages 2295-2312

  Hartz, Christoph ^a   Mittnik, Stefan ^a,b,c   Paolella, Marc ^d  

^a UNIVERSITY OF MUNICH   (Germany)

^b Center for Financial Studies   (Germany)

^c IFO INSTITUTE   (Germany)

^d UNIVERSITY OF ZURICH   (Switzerland)

Author keywords

Bootstrap; GARCH; Value at risk

Indexed keywords

COMPUTER SIMULATION; DATA REDUCTION; MATHEMATICAL MODELS; NUMERICAL METHODS;

BOOTSTRAP; GARCH; VALUE AT RISK (VAR);

TECHNOLOGICAL FORECASTING;

EID: 33751005555     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.09.017     Document Type: Article

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