Size does matter: a study on the required window size for optimal-quality market risk models

In this paper the authors study different moving-window lengths for value-at-risk evaluation, and also address subjectivity in choosing the window size by

Related Keywords

Warsaw ,L67 ,Poland , ,Financial Times Stock Exchange ,Warsaw Stock Exchange ,Value At Risk Var ,Historical Simulation ,Generalised Autoregressive Conditional Heteroscedasticity Garch ,Forecasting ,Risk Model Validation ,Original Research ,