Value-at-risk bounds for multivariate heavy tailed distribution : an application to the Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity model
Imed Gammoudi , Mohamed El Ghourabi and Lotfi BelKacem
| Year of publication: |
September 2016
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|---|---|
| Authors: | Gammoudi, Imed ; El Ghourabi, Mohamed ; Belkacem, Lotfi |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 10.2016, 3, p. 49-68
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| Subject: | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Heteroskedastizität | Heteroscedasticity | Ausreißer | Outliers | Multivariate Verteilung | Multivariate distribution | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2016.157 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011587684