Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
Year of publication: |
2009
|
---|---|
Authors: | Wilhelmsson, Anders |
Published in: |
The econometrics journal. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1368-4221, ZDB-ID 14122650. - Vol. 12.2009, 1, p. 82-104
|
Saved in:
Saved in favorites
Similar items by person
-
Idiosyncratic Risk and Higher-Order Cumulants
Lundtofte, Frederik, (2011)
-
Nyberg, Peter, (2009)
-
Is the VIX futures market able to predict the VIX index? : a test of the expectation hypothesis
Nossman, Marcus, (2009)
- More ...