Probability-unbiased Value-at-Risk estimators

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Author
Francioni, Ivo
Herzog, Florian
Date
2012-05
Type
    Journal Article
Publication status
published
External links
Journal / series
Quantitative Finance
Volume
12(5)
Pages / Article No.
755 - 768
Publisher
Routledge
Subject
Statistics; Value at Risk; Risk measures; Parameter estimation techniques; Gaussian processes
Organisational unit
03758 - D'Andrea, Raffaello / D'Andrea, Raffaello  
Notes
Published online 4 May 2012.
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yes
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