Authors
Mateusz Buczyński
mateusz.buczynski@student.uw.edu.pl
University of Warsaw, Faculty of Economic Sciences, Warsaw, Poland
Marcin Chlebus
University of Warsaw, Faculty of Economic Sciences, Department of Quantitative Finance, Warsaw, Poland
Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods with Different Volatility Levels
By: Mateusz Buczyński and Marcin Chlebus
DOI: https://doi.org/10.2478/fiqf-2018-0013 | Journal eISSN: 2719-3454
Language: English
Page range: 67 - 82
Submitted on: Nov 15, 2017
Accepted on: Jun 30, 2018
Published on: Feb 14, 2019
Published by: University of Information Technology and Management in Rzeszow
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year
Keywords:
Related subjects:
© 2019 Mateusz Buczyński, Marcin Chlebus, published by University of Information Technology and Management in Rzeszow
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.