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Robust formulation of a parametric value at risk model
Title Robust formulation of a parametric value at risk model Author info Martin Boďa, Viera Roháčová Author Boďa Martin 1984- (50%) UMBEF05 - Katedra kvantitatívnych metód a informačných systémov
Co-authors Mendelová Viera 1985- (50%) UMBEF05 - Katedra kvantitatívnych metód a informačných systémov
Source document Applications of Mathematics and Statistics in Economy : proceedings : 15th International Scientific Conference, August 30 - September 1, 2012, Liberec. S. [1-16]. - Praha : Vysoká škola ekonomická, Nakladatelství Oeconomica, 2012 / Fischer Jakub ; Applications of Mathematics and Statistics in Economy International Scientific Conference Keywords value at risk robust prediction non-robust prediction AR(1)-GARCH(1,1) model Cornish-Fisher approximation Yeo-Johnson transformation Language English Country Czech Republic systematics 004 Public work category AFC No. of Archival Copy 26169 Catal.org. BB301 - Univerzitná knižnica Univerzity Mateja Bela v Banskej Bystrici Database xpca - PUBLIKAČNÁ ČINNOSŤ 
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Number of the records: 1