Estimating Value at Risk and the Expected Shortfall for Heteroscedastic Financial Log Returns: A Two-Stage Method
Year of publication: |
2005-01-05
|
---|---|
Authors: | Wu, Weiwei |
Other Persons: | David A. Dickey (contributor) ; Sujit K. Ghosh (contributor) ; Jean-Pierre Fouque (contributor) ; Peter Bloomfield (contributor) |
Subject: | tree-GARCH | heteroscedastic | the Expected Shortfall | Value at Risk |
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