Risk Estimation for GARCH Processes with Heavy-Tailed Innovations
Year of publication: |
2019
|
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Authors: | Prohl, Silke |
Other Persons: | Mitov, Georgi K. (contributor) ; Rachev, Svetlozar (contributor) ; Fabozzi, Frank J. (contributor) ; Kim, Aaron (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | ARCH-Modell | ARCH model | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Innovation |
Description of contents: |
The standard measures of ...
|
Extent: | 1 Online-Ressource (56 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 27, 2011 erstellt |
Other identifiers: | 10.2139/ssrn.3312569 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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