Density and risk prediction with non-Gaussian COMFORT models

Marc S. Paolella and Paweł Polak

Year of publication:	2023
Authors:	Paolella, Marc S. ; Polak, Pawel
Subject:	GJR-GARCH \| multivariate generalized hyperbolic distribution \| non-ellipticity \| value-at-risk \| Statistische Verteilung \| Statistical distribution \| Risikomaß \| Risk measure \| Theorie \| Theory \| Prognoseverfahren \| Forecasting model \| ARCH-Modell \| ARCH model \| Schätzung \| Estimation

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