Time-varying conditional Johnson Su density in Value-at-Risk methodology
Peter Julian Cayton and Dennis Mapa
| Year of publication: |
2015
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|---|---|
| Authors: | Cayton, Peter Julian ; Mapa, Dennis |
| Published in: |
The Philippine review of economics : a joint publication of the University of the Philippines, School of Economics and the Philippine Economic Society. - Quezon City, ISSN 1655-1516, ZDB-ID 2044224-5. - Vol. 52.2015, 1, p. 23-44
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| Subject: | time-varying parameters | Generalized AutoRegressive Conditional Heteroskedasticity models | non-normal distributions | risk management | financial econometrics | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
| 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/10011416114