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EWMA
GARCH
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backtesting
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VaR
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student's t-distribution
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ehdollinen varianssi
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Ehdollisten varianssimallien ennustekyky
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Saaristo, Pekka
Published 2004
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Would student's t-GARCH improve VaR estimates?
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Mohamed, Abdelazim
Published 2005
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Master's thesis
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Would student's t-GARCH improve VaR estimates?
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Mohamed, Abdelazim Reffat
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Forecasting accuracy of some popular Value-at-risk models : empirical comparison of backtesting methods
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Harju, Jussi
Published 2006
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EWMA
GARCH
3 results
3
backtesting
3 results
3
VaR
2 results
2
student's t-distribution
2 results
2
GJR GARCH
1 results
1
Value-at-risk
1 results
1
ehdollinen varianssi
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ennustaminen
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t-GARCH
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varianssianalyysi
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Kauppakorkeakoulu
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automatic subjects
distribution
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econometrics
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education and training
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international comparison
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students
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ennusteet
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finance
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forecasts
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mallit (mallintaminen)
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mathematical models
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methods
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risk management
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taloudelliset ennusteet
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tehokkuus
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varianssianalyysi
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fin
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