Przeglądanie wg słów kluczowych "Family of Sign RCA Models"
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Przeglądanie wg słów kluczowych "Family of Sign RCA Models"
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(2009-07-18)Accurate modelling of risk is very important in finance. There are many alternative risk measures, however none of them is dominating. This paper proposes to use the family of Sign RCA models to obtain the Value-at-Risk ...
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(2010-07-17)Evaluating Value at Risk (VaR) methods of predictive accuracy in an objective and effective framework is important for both efficient capital allocation and loss prediction. From this reasons, finding an adequate method ...
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