Diagnosing the distribution of GARCH innovations
Year of publication: |
2014
|
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Authors: | Sun, Pengfei ; Chen Zhou |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 29.2014, p. 287-303
|
Subject: | GARCH(1,1) | Extreme value theory | Hill estimator | Dynamic risk management | Risikomanagement | Risk management | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
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