Density and risk prediction with non-Gaussian COMFORT models
Year of publication: |
2023
|
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Authors: | Paolella, Marc S. ; Polak, Pawel |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4960, ZDB-ID 2515861-2. - Vol. 18.2023, 1, Art.-No. 2250033, p. 1-37
|
Subject: | GJR-GARCH | multivariate generalized hyperbolic distribution | non-ellipticity | value-at-risk | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Theorie | Theory | Prognoseverfahren | Forecasting model | Schätzung | Estimation | ARCH-Modell | ARCH model | Risiko | Risk |
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