Multi-level Conditional VaR Estimation in Dynamic Models
Year of publication: |
2014
|
---|---|
Authors: | Franck, Christian Francq ; Zakoian, Jean-Michel |
Institutions: | Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) |
Subject: | GARCH | Distortion Risk Measures | Quasi-Maximum Likelihood | Value-at-Risk |
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