Sensitivity analysis of volatility: a new tool for risk management
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
Europ. Central Bank
2002
|
| Series: | Working paper series / European Central Bank
194 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 37 S. graph. Darst. |
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| 700 | 1 | |a Ceci, Vladimiro |e Verfasser |4 aut | |
| 700 | 1 | |a Vecchiato, Walter |e Verfasser |4 aut | |
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Record in the Search Index
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| adam_text |
CONTENTS
ABSTRACT
4
NON-TECHNICAL
SUMMARY
5
I.
INTRODUCTION
6
2.
SENSITIVITY
ANALYSIS
9
3.
SENSITIVITY
ANALYSIS
CORRELATIONS
1
3
4.
EMPIRICAL
APPLICATION
1
7
4.
1
SENSITIVITY
OF
GARCH
VARIANCE
1
8
4.2
VARIANCE-COVARIANCE
ESTIMATION
2
1
S.
CONCLUSIONS
24
REFERENCES
25
FIGURES
&
TABLES
27
EUROPEAN
CENTRAL
BANK
WORKING
PAPER
SERIES
33 |
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| indexdate | 2024-08-18T00:26:42Z |
| institution | BVB |
| language | English |
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| physical | 37 S. graph. Darst. |
| publishDate | 2002 |
| publishDateSearch | 2002 |
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| publisher | Europ. Central Bank |
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| spelling | Manganelli, Simone Verfasser aut Sensitivity analysis of volatility a new tool for risk management by Simone Manganelli ; Vladimiro Ceci and Walter Vecchiato Frankfurt am Main Europ. Central Bank 2002 37 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Working paper series / European Central Bank 194 Mathematisches Modell Derivative securities Mathematical models Risk management Mathematical models Ceci, Vladimiro Verfasser aut Vecchiato, Walter Verfasser aut European Central Bank Working paper series 194 (DE-604)BV012681744 194 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010155786&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Manganelli, Simone Ceci, Vladimiro Vecchiato, Walter Sensitivity analysis of volatility a new tool for risk management Mathematisches Modell Derivative securities Mathematical models Risk management Mathematical models |
| title | Sensitivity analysis of volatility a new tool for risk management |
| title_auth | Sensitivity analysis of volatility a new tool for risk management |
| title_exact_search | Sensitivity analysis of volatility a new tool for risk management |
| title_full | Sensitivity analysis of volatility a new tool for risk management by Simone Manganelli ; Vladimiro Ceci and Walter Vecchiato |
| title_fullStr | Sensitivity analysis of volatility a new tool for risk management by Simone Manganelli ; Vladimiro Ceci and Walter Vecchiato |
| title_full_unstemmed | Sensitivity analysis of volatility a new tool for risk management by Simone Manganelli ; Vladimiro Ceci and Walter Vecchiato |
| title_short | Sensitivity analysis of volatility |
| title_sort | sensitivity analysis of volatility a new tool for risk management |
| title_sub | a new tool for risk management |
| topic | Mathematisches Modell Derivative securities Mathematical models Risk management Mathematical models |
| topic_facet | Mathematisches Modell Derivative securities Mathematical models Risk management Mathematical models |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010155786&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV012681744 |
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