Essays about: "Askar Nyssanov"
Found 1 essay containing the words Askar Nyssanov.
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1. An empirical study in risk management: estimation of Value at Risk with GARCH family models
University essay from Statistiska institutionenAbstract : In this paper the performance of classical approaches and GARCH family models are evaluated and compared in estimation one-step-ahead VaR. The classical VaR methodology includes historical simulation (HS), RiskMetrics, and unconditional approaches. READ MORE
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