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Wavelet-Based Equity VaR Estimation
Wavelet-Based Equity VaR Estimation Economic risk analysis has two dimensions: time and ... modèle ARMA-GARCH ne tient compte que de l’impact direct des rendements et des volatilités des trois derniers ...- Authors: Kailan Shang
- Date: Oct 2019
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management
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Wavelet-Based Equity VaR Estimation
Wavelet-Based Equity VaR Estimation Economic risk analysis has two dimensions: time and frequency. ... volatility, the ARMA-GARCH model reflects only the direct impact of returns and volatilities in the past ...- Authors: Kailan Shang
- Date: Dec 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management