Market Risk Analysis, Value at Risk Models
Hence, when adjustment is made using a GARCH model, the scaled volatility adjusted VaR will overestimate VaR when the ... To illustrate this we use Matlab to apply the Epanechnikov, Gaussian and lognormal kernels to a distribution ofanbsp;...
| Title | : | Market Risk Analysis, Value at Risk Models |
| Author | : | Carol Alexander |
| Publisher | : | John Wiley & Sons - 2009-01-15 |
You must register with us as either a Registered User before you can Download this Book. You'll be greeted by a simple sign-up page.
Once you have finished the sign-up process, you will be redirected to your download Book page.
How it works:- 1. Register a free 1 month Trial Account.
- 2. Download as many books as you like (Personal use)
- 3. Cancel the membership at any time if not satisfied.
