Étude comparative du modèle GARCH (1,1) univarié et de la simulation historique dans les prévisions de "Value at risk" et "Expected Shortfall"
| dc.contributor.advisor | Perron, Benoit | |
| dc.contributor.advisor | Henry, Marc | |
| dc.contributor.author | HADJ ALI, Farah | |
| dc.date.accessioned | 2010-06-16T18:27:23Z | |
| dc.date.available | 2010-06-16T18:27:23Z | |
| dc.date.issued | 2010-04 | |
| dc.identifier.uri | http://hdl.handle.net/1866/3830 | |
| dc.title | Étude comparative du modèle GARCH (1,1) univarié et de la simulation historique dans les prévisions de "Value at risk" et "Expected Shortfall" | en |
| dc.type | Travail étudiant / Student work | en |
| etd.degree.discipline | Sciences économiques | en |
| etd.degree.grantor | Université de Montréal | en |
| etd.degree.name | M. Sc. | en |
| dcterms.description | Numéro de référence interne originel : a1.1 g 1143 | |
| dcterms.language | fra | en |
| UdeM.cycle | Études aux cycles supérieurs / Graduate studies |
Files in this item
This item appears in the following Collection(s)
This document disseminated on Papyrus is the exclusive property of the copyright holders and is protected by the Copyright Act (R.S.C. 1985, c. C-42). It may be used for fair dealing and non-commercial purposes, for private study or research, criticism and review as provided by law. For any other use, written authorization from the copyright holders is required.