Value-at-risk in US stock indices with skewed generalized error distribution
Year of publication: |
2008
|
---|---|
Authors: | Lee, Ming-chih ; Su, Jung-bin ; Liu, Hung-Chun |
Published in: |
Applied financial economics letters. - Abingdon : Routledge, ISSN 1744-6546, ZDB-ID 2175172-9. - Vol. 4.2008, 4/6, p. 425-431
|
Subject: | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Aktienindex | Stock index | Theorie | Theory | ARCH-Modell | ARCH model | Statistischer Fehler | Statistical error | USA | United States |
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