Estimation of dynamic VaR using JSU and PIV distributions
Sree Vinutha Venkataraman and S. V. D. Nageswara Rao
| Year of publication: |
August 2016
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|---|---|
| Authors: | Venkataraman, Sree Vinutha ; Rao, S. V. D. Nageswara |
| Published in: |
Risk management : a journal of risk, crisis and disaster. - Basingstoke : Palgrave Macmillan, ISSN 1460-3799, ZDB-ID 2227982-9. - Vol. 18.2016, 2/3, p. 111-134
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| Subject: | Value at risk | ARMA | GARCH | Johnson’s SU distribution (JSU) | Pearson type IV distribution (PIV) | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Schätzung | Estimation |