Forecasting value-at-risk using maximum entropy density

18th World IMACS Congress and MODSIM 2009 - International Congress on Modelling and Simulation: Interfacing Modelling and Simulation with Mathematical and Computational Sciences, Proceedings

Volumn , Issue , 2009, Pages 1377-1383

  Chan, Felix ^a  

^a CURTIN UNIVERSITY   (Australia)

Author keywords

GARCH; GJR; Maximum Entropy Density; Value at Risk; Volatility

Indexed keywords

AUTOREGRESSIVE MOVING AVERAGE MODEL; ESTIMATION; FORECASTING; MAXIMUM ENTROPY METHODS; MAXIMUM LIKELIHOOD ESTIMATION; STATISTICAL METHODS; VALUE ENGINEERING;

DAY-AHEAD; FINANCIAL ASSETS; GARCH MODELS; GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; QUASI-MAXIMUM LIKELIHOOD ESTIMATORS; REGULATORY AUTHORITIES; UNDERLYING DISTRIBUTION; VALUE AT RISK;

RISK ASSESSMENT;

EID: 85086272541     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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