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pro vyhledávání: '"Balter, Janine"'
Autor:
Balter, Janine1 (AUTHOR) janinba@web.de, McNeil, Alexander J.2 (AUTHOR) alexander.mcneil@york.ac.uk
Publikováno v:
Risks. Jan2024, Vol. 12 Issue 1, p13. 15p.
Autor:
Balter, Janine, McNeil, Alexander J.
A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L are linear in the risk-fac
Externí odkaz:
http://arxiv.org/abs/1803.07590
A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L (profit-and-loss) are line
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=core_ac_uk__::892340d4e2f53c55f8971efb4b55fe21
https://eprints.whiterose.ac.uk/135384/1/Balter_McNeil_18_revision.pdf
https://eprints.whiterose.ac.uk/135384/1/Balter_McNeil_18_revision.pdf
Autor:
BALTER, Janine
Integrated quarticity, a measure of the volatility of volatility, plays a key role in analyzing the volatility of financial time series. As it is an important ingredient for the construction of accurate confidence intervals for integrated volatility,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______151::37339b3cea5656b2feacf1fec7473320
https://hdl.handle.net/1814/28102
https://hdl.handle.net/1814/28102
Akademický článek
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Publikováno v:
International Journal of Computational Economic and Econometrics; 2016, Vol. 6 Issue: 4 p413-431, 19p