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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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An empirical characteristic function approach to VaR under a mixture-of-normal distribution with time-varying volatility
Xu, Dinghai
;
Wirjanto, Tony S.
- In:
The journal of derivatives : the official publication …
18
(
2010
)
1
,
pp. 39-58
Persistent link: https://www.econbiz.de/10008655519
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AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH TO VAR UNDER A MIXTURE-OF-NORMAL DISTRIBUTION WITH TIME-VARYING VOLATILITY
Xu, Dinghai
;
Wirjanto, Tony S
- In:
The journal of derivatives : the official publication …
18
(
2010
)
1
,
pp. 39-59
Persistent link: https://www.econbiz.de/10008639142
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