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Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods with Different Volatility Levels Cover

Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods with Different Volatility Levels

Financial Internet Quarterly
Volume 14 (2018): Issue 2 (June 2018)
By: Mateusz Buczyński and  Marcin Chlebus  
Open Access
|Feb 2019

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DOI: https://doi.org/10.2478/fiqf-2018-0013 | Journal eISSN: 2719-3454
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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:
Value-at-Risk,
CAViaR,
GARCH,
combined forecasts,
quality assessment,
risk management
Related subjects:
Business and economics,
Political economics,
Economic theory, systems and structures,
Microeconomics,
Macroeconomics,
Public finance and fiscal theory

© 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.

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