Forecasting VaR and ES using dynamic conditional score models and skew Student distribution
Year of publication: |
February 2016
|
---|---|
Authors: | Gao, Chun-Ting ; Zhou, Xiao-Hua |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 53.2016, p. 216-223
|
Subject: | DCS models | VaR | ES | Skew Student distribution | Market risk | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | VAR-Modell | VAR model | Studierende | Students | Schätzung | Estimation | Theorie | Theory |
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