Index-exciting CAViaR : a new empirical time-varying risk model
Dashan Huang; Baimin Yu; Zudi Lu; Frank J. Fabozzi; Sergio Focardi ...
| Year of publication: |
2010
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| Authors: | Huang, Dashan ; Yu, Baimin ; Lu, Zudi ; Fabozzi, Frank J. ; Focardi, Sergio |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 13852619. - Vol. 14.2010, 2, p. 1-24
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| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | 10.2202/1558-3708.1805 [DOI] |
| Source: |
Persistent link: https://www.econbiz.de/10009949964