Multiple-Step-Ahead Forecasting of Value at Risk Based on Holt-Winters Exponential Smoothing Multiplicative Method
In recent years, the Value at Risk as a useful tool has been able to assist investors and activists in the financial sector to estimate and forecast the amount of risk involved and its management greatly. In this paper, multiple-step-ahead method forecasted Value at Risk of the Auto and bank indices...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Alzahra University
2018-04-01
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| Series: | راهبرد مدیریت مالی |
| Subjects: | |
| Online Access: | http://jfm.alzahra.ac.ir/article_3229_05726fed155a9c8cf6c57e58963f1b3a.pdf |