A study of value-at-risk based on M-estimators of the conditional heteroscedastic models

Farhat Iqbal and Kanchan Mukherjee

Year of publication:	2012
Authors:	Iqbal, Farhat ; Mukherjee, Kanchan
Published in:	Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 31.2012, 5, p. 377-390
Subject:	Risikomaß \| Risk measure \| Schätztheorie \| Estimation theory \| ARCH-Modell \| ARCH model \| Heteroskedastizität \| Heteroscedasticity

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