A skewed student-t value-at-risk approach for long memory volatility processes in Japanese financial markets

Seong-Min Yoon; Sang-Hoon Kang

Year of publication:	2007
Authors:	Yoon, Seong-min ; Kang, Sang-hoon
Published in:	Dae oe gyeong je yeon gu. - Seo ul, ISSN 1598-2769, ZDB-ID 2056824-1. - Vol. 11.2007, 1, p. 211-241
Subject:	Finanzmarkt \| Financial market \| Volatilität \| Volatility \| Statistische Verteilung \| Statistical distribution \| Zeitreihenanalyse \| Time series analysis \| VAR-Modell \| VAR model \| Schätzung \| Estimation \| Japan

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