A conditional heteroscedastic VaR approach with alternative distributions
Alternative title: | Un enfoque del VaR heterocedástico condicional con distribuciones alternativas |
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Year of publication: |
2020
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Authors: | Serrano Bautista, Ramona ; Mata Mata, Leovardo |
Published in: |
EconoQuantum : Revista de Economía y Negocios. - Zapopan, Jalisco : [Verlag nicht ermittelbar], ISSN 2007-9869, ZDB-ID 2572284-0. - Vol. 17.2020, 2, p. 81-98
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Subject: | VaR | gaRch | Stable distribution | Generalized Skew t distribution | Normal Inverse Gaussian distribution | Theorie | Theory | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Wahrscheinlichkeitsrechnung | Probability theory | Volatilität | Volatility | Risikomaß | Risk measure |
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