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Accurate value-at-risk forecasting based on the normal-GARCH model.

Christoph HartzStefan MittnikMarc S. Paolella
Published in: Comput. Stat. Data Anal. (2006)
Keyphrases
  • garch model
  • stock market
  • stock index
  • multivariate time series
  • sar images
  • short term
  • multiresolution
  • denoising
  • non stationary
  • financial time series
  • portfolio optimization