A conditional heteroscedastic VaR approach with alternative distributions
Ramona Serrano Bautista, Leovardo Mata Mata
| Alternative title: | Un enfoque del VaR heterocedástico condicional con distribuciones alternativas |
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| Year of publication: |
2020
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| Authors: | Serrano Bautista, Ramona ; Mata Mata, Leovardo |
| Published in: |
EconoQuantum : Revista de Economía y Negocios. - Zapopan, Jalisco : [Verlag nicht ermittelbar], ISSN 2007-9869, ZDB-ID 2572284-0. - Vol. 17.2020, 2, p. 81-98
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| Subject: | VaR | gaRch | Stable distribution | Generalized Skew t distribution | Normal Inverse Gaussian distribution | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Risikomaß | Risk measure | Wahrscheinlichkeitsrechnung | Probability theory | Volatilität | Volatility | Schätztheorie | Estimation theory |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.18381/eq.v17i2.7125 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012617079