High frequency data aggregation and Value-at-Risk
Value-at-risk (VaR) model as a tool to estimate market risk is considered in the thesis. It is a statistical model defined as the maximum future loss due to likely changes in the value of financial assets portfolio during a certain period with a certain probability. A new definition of the aggregate...
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| Format: | Doctoral Thesis |
| Language: | English |
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Lithuanian Academic Libraries Network (LABT)
2011
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| Online Access: | http://vddb.laba.lt/fedora/get/LT-eLABa-0001:E.02~2011~D_20110920_152352-20261/DS.005.1.01.ETD |