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Autokorrelationen in der historischen Simulation

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Springer Nature
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N/A
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9783658211080
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Product Description

Ausgehend von der Definition und Vorstellung barwertiger Konzepte der Zinsrisikomessung fhrt Noel Boka durch die Problematik von Autokorrelationen in der historischen Simulation. Nach der Verknpfung der grundlegenden statistischen Eigenschaften mit der praktischen Anwendung folgt eine umfassende empirische Analyse zu den verschiedenen Ausprgungen und Einflussfaktoren. So kann zusammengefasst werden, dass die Differenzenmethode eine ausreichende Prognosegte gewhrleistet. Fr niveauunabhngige Verfahren kann hingegen ein Kausalzusammenhang aus geminderter Prognosegte und Autokorrelationen festgestellt werden.

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