An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution
Shijia Song, Fei Tian, Handong Li
| Year of publication: |
2021
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|---|---|
| Authors: | Song, Shijia ; Tian, Fei ; Li, Handong |
| Published in: |
Journal of Asian economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1049-0078, ZDB-ID 1061920-3. - Vol. 74.2021, p. 1-22
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| Subject: | Back testing | Censored GP distribution | DCS | POT | VaR | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.asieco.2021.101314 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012803294