VaR Modelling on Long Run Horizons

dc.contributor.author	Giannopoulos, Kostas
dc.date.accessioned	2015-12-10T16:59:36Z
dc.date.available	2015-12-10T16:59:36Z
dc.date.issued	2003-07
dc.identifier.issn	1608-3032
dc.identifier.uri	http://hdl.handle.net/11728/6556
dc.description.abstract	The Value-at-Risk (VaR) criterion as a measure of portfolio's risk on long run horizons is considered. The method which makes possible to generate VaR estimates on longer horizons is suggested. The VaR estimation is based on the general method of Filtered Historical Simulation (FHS). The results of numerical experiments with real financial data are described.	en_UK
dc.language.iso	en	en_UK
dc.publisher	Kluwer Academic Publishers-Plenum Publishers	en_UK
dc.relation.ispartofseries	Automation and Remote Control;Volume 64, Issue 7 , pp 1094-1100
dc.rights	© Springer	en_UK
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	en_UK
dc.subject	Research Subject Categories::SOCIAL SCIENCES::Business and economics	en_UK
dc.title	VaR Modelling on Long Run Horizons	en_UK
dc.type	Article	en_UK
dc.doi	10.1023/A:1024782117906