A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns
Year of publication: |
2012
|
---|---|
Authors: | Bhattacharyya, Malay ; Madhav R, Siddarth |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Dynamic VaR | GARCH | EVT | Johnson SU | Pearson Type IV | Mixture of Normal Distributions | Manly | John Draper | Yeo-Johnson Transformations |
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