Value at Risk-Quantifizierung Unter Verwendung Von Hochfrequenzdaten
Mark Neukomm
Value at Risk-Quantifizierung Unter Verwendung Von Hochfrequenzdaten
Mark Neukomm
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Mark Neukomm gibt einen theoretischen und empirischen Einblick in die Thematik von Hochfrequenzdaten und stellt neue Wege und Aspekte einer optimierten Risikomessung vor. Dazu analysiert er spezifische und fur die Risikomessung zentrale Eigenschaften von Aktienrenditen mit unterschiedlich hohen Frequenzen. Hieraus leitet er innovative VaR-Verfahren ab.
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