Mabitsela, Lesedi; Maré, Eben; Kufakunesu, Rodwell - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 103-126
Inverse Gaussian and is compared to the financial returns modelled using the Normal, Skew t-distribution and Student t …-distribution. We then estimate Value-at-Risk under the assumption that financial returns follow the Normal Inverse Gaussian, Normal …