Volatility models forecasting power: a comparison under the framework of the VaR
Cinelli, Alfredo (A.A. 2019/2020) Volatility models forecasting power: a comparison under the framework of the VaR. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 85. [Master's Degree Thesis]
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Abstract/Index
Preliminary notions. A journey into risk, risk management and regulation. Methodology. Overview of logarithmic returns and ARCH model. Empirical analysis.
References
Bibliografia: pp. 74-76.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Porchia, Paolo |
| Thesis Co-Supervisor: | Pirra, Marco |
| Academic Year: | 2019/2020 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 12 Jan 2021 14:06 |
| Last Modified: | 12 Jan 2021 14:06 |
| URI: | https://tesi.luiss.it/id/eprint/27928 |
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