Empirical analysis of asymmetric long memory volatility models in value-at-risk estimation
Year of publication: |
2010
|
---|---|
Authors: | Mighri, Zouheir ; Mokni, Kahled ; Mansouri, Fayçal |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 13.2010/11, 1, p. 55-128
|
Subject: | Risikomaß | Risk measure | Volatilität | Volatility | Schätzung | Estimation |
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