Number of the records: 1  

Robust formulation of a parametric value at risk model

  1. TitleRobust formulation of a parametric value at risk model
    Author infoMartin Boďa, Viera Roháčová
    Author Boďa Martin 1984- (50%) UMBEF05 - Katedra kvantitatívnych metód a informačných systémov
    Co-authors Mendelová Viera 1985- (50%) UMBEF05 - Katedra kvantitatívnych metód a informačných systémov
    Source document Applications of Mathematics and Statistics in Economy : proceedings : 15th International Scientific Conference, August 30 - September 1, 2012, Liberec. S. [1-16]. - Praha : Vysoká škola ekonomická, Nakladatelství Oeconomica, 2012 / Fischer Jakub ; Applications of Mathematics and Statistics in Economy International Scientific Conference
    Keywords value at risk   robust prediction   non-robust prediction   AR(1)-GARCH(1,1) model   Cornish-Fisher approximation   Yeo-Johnson transformation  
    LanguageEnglish
    CountryCzech Republic
    systematics 004
    Public work category AFC
    No. of Archival Copy26169
    Catal.org.BB301 - Univerzitná knižnica Univerzity Mateja Bela v Banskej Bystrici
    Databasexpca - PUBLIKAČNÁ ČINNOSŤ
    unrecognised

    unrecognised

Number of the records: 1  

  This site uses cookies to make them easier to browse. Learn more about how we use cookies.