Evaluation of volatility models for forecasting value at risk in stock prices

Mestrado em Econometria Aplicada e Previsão

Bibliographic Details
Main Author: Louro, Rui Alexandre Narciso Miguens (author)
Format: masterThesis
Language:eng
Published: 2017
Subjects:
GARCH
Value at Risk
Expected Shortfall
backtesting
Online Access:http://hdl.handle.net/10400.5/12888
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/12888

Internet

http://hdl.handle.net/10400.5/12888

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