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Persistent link: https://www.econbiz.de/10005706602
In this paper we model Value-at-Risk (VaR) for daily stock index returns using a collection of parametric models of the ARCH family based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underperform with respect to skewed...
Persistent link: https://www.econbiz.de/10005132864