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~isPartOf:"Econometrics : open access journal"
~isPartOf:"International review of economics & finance : IREF"
~person:"Paolella, Marc S."
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Paolella, Marc S.
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Econometrics : open access journal
International review of economics & finance : IREF
Arbeiten aus dem Institut für Statistik und Ökonometrie der Christian-Albrechts-Universität Kiel
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ECONIS (ZBW)
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A fast, accurate method for value-at-risk and expected shortfall
Krause, Jochen
;
Paolella, Marc S.
- In:
Econometrics : open access journal
2
(
2014
)
2
,
pp. 98-122
exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a
GARCH
-type process driven by noncentral …
Persistent link: https://www.econbiz.de/10010429763
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2
Alright : asymmetric LaRge-scale (I)
GARCH
with Hetero-Tails
Paolella, Marc S.
;
Polak, Pawel
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 282-297
Persistent link: https://www.econbiz.de/10011573592
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