Size does matter: a study on the required window size for op

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 ,