Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation
Jung-Bin Su; Jui-Cheng Hung
| Year of publication: |
2011
|
|---|---|
| Authors: | Su, Jung-Bin ; Hung, Jui-cheng |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 28.2011, 3, p. 1117-1130
|
| Subject: | Risikomaß | Risk measure | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009271254