An econometric approach to incorporating non-normality in VaR measurement
Year of publication: |
February 2016
|
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Authors: | Gumbo, Victor ; Siziba, Simiso |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 1, p. 82-98
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Subject: | VaR | Stylised Facts | Volatility Clustering | Leptokurtic Returns | Converging Correlation | Volatilität | Volatility | VAR-Modell | VAR model | Korrelation | Correlation | Schätzung | Estimation | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Risikomaß | Risk measure |
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