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73
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Gouveia, Ricardo João da Silva
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Krecmer, Vladimir
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Subject
Backtesting
(2)
C Mathematical and quantitative methods
(2)
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
(2)
G Financial economics
(2)
Value-at-risk
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Year:
2019
Subject:
Backtesting
Repository:
73
Document Type:
Tesis
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(0.012 seconds)
Title:
Implied volatility: can we improve VAR models?
Author:
Krecmer, Vladimir
Language:
Inglés
Repository:
73
Subject:
Implied volatility
/
Stocks
/
Value-at-risk
/
Backtesting
/
Análise de mercado
/
Cooperação económica
/
Metodologia VAR -- Vectores autoregressivos
/
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
/
C32
/
G17
/
C Mathematical and quantitative methods
/
G Financial economics
Acceder
Title:
Saddle-point approach: backtesting VaR models in the presence of extreme losses
Author:
Gouveia, Ricardo João da Silva
Language:
Inglés
Repository:
73
Subject:
Backtesting
/
Value-at-risk
/
Time series
/
Risk management
/
Gestão do risco
/
Modelos de risco
/
Séries temporais
/
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
/
C58
/
G32
/
C Mathematical and quantitative methods
/
G Financial economics
Acceder
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