A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification
| Year of publication: |
2014
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|---|---|
| Authors: | Degiannakis, Stavros ; Dent, Pamela ; Floros, Christos |
| Published in: |
Manchester School. - School of Economics, ISSN 1463-6786. - Vol. 82.2014, 1, p. 71-102
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| Publisher: |
School of Economics |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010728268