An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution
Year of publication: |
2021
|
---|---|
Authors: | Song, Shijia ; Tian, Fei ; Li, Handong |
Published in: |
Journal of Asian economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1049-0078, ZDB-ID 1061920-3. - Vol. 74.2021, p. 1-22
|
Subject: | Back testing | Censored GP distribution | DCS | POT | VaR | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Schätztheorie | Estimation theory |
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