VaR and CVaR of Czech Financial Assets Returns Using GARCH Models with Heavy Tails Distributions
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61384399%3A31110%2F22%3A00058207" target="_blank" >RIV/61384399:31110/22:00058207 - isvavai.cz</a>
Result on the web
<a href="https://mme2022.vspj.cz/download/proceedings-2.pdf" target="_blank" >https://mme2022.vspj.cz/download/proceedings-2.pdf</a>
DOI - Digital Object Identifier
—
Alternative languages
Result language
angličtina
Original language name
VaR and CVaR of Czech Financial Assets Returns Using GARCH Models with Heavy Tails Distributions
Original language description
Main topics of the document: VaR and CVaR; GARCH model; returns of Czech financial assets; comparison
Czech name
—
Czech description
—
Classification
Type
D - Article in proceedings
CEP classification
—
OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GA22-19617S" target="_blank" >GA22-19617S: Modeling the structure and dynamics of energy, commodity and alternative asset prices</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
40th International Conference Mathematical Methods in Economics 2022
ISBN
978-80-88064-62-6
ISSN
—
e-ISSN
—
Number of pages
7
Pages from-to
379-385
Publisher name
College of Polytechnics Jihlava
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 7, 2022
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
—