A robust VaR model under different time periods and weighting schemes

Review of Quantitative Finance and Accounting

Volumn 28, Issue 2, 2007, Pages 187-201

  Angelidis, Timotheos ^a   Benos, Alexandros ^b   Degiannakis, Stavros ^c  

^a UNIVERSITY OF THE AEGEAN   (Greece)

^b BANK OF GREECE   (Greece)

^c ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

Author keywords

Asymmetric power ARCH; Backtesting; Extreme value theory; Filtered historical simulation; Value at risk

Indexed keywords

EID: 33846536274     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1007/s11156-006-0010-y     Document Type: Article

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