Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
Ngai Hang Chan, Shi-jie Deng, Liang Peng, Zhendong Xia
| Year of publication: |
2007
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|---|---|
| Authors: | Chan, Ngai Hang ; Deng, Shi-jie ; Peng, Liang ; Xia, Zhendong |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 137.2007, 2, p. 556-576
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| Subject: | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003441983