An econometric approach to incorporating non-normality in VaR measurement
Victor Gumbo, Simiso Siziba (Department of Finance, National University of Science and Technology, Bulawayo, Zimbabwe)
| Year of publication: |
February 2016
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|---|---|
| Authors: | Gumbo, Victor ; Siziba, Simiso |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 1, p. 82-98
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| Subject: | VaR | Stylised Facts | Volatility Clustering | Leptokurtic Returns | Converging Correlation | Volatilität | Volatility | VAR-Modell | VAR model | Korrelation | Correlation | Schätzung | Estimation | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Messung | Measurement | Wirtschaftliche Konvergenz | Economic convergence |