Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology
Year of publication: |
2012-01
|
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Authors: | Cayton, Peter Julian A. ; Mapa, Dennis S. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Time Varying Parameters | GARCH models | Nonnormal distributions | Risk Management |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | G12 - Asset Pricing ; C53 - Forecasting and Other Model Applications ; G32 - Financing Policy; Capital and Ownership Structure ; C22 - Time-Series Models |
Source: |
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