Value-at-risk estimation of gold market with stable generalised hyperbolic distributions
Knowledge Chinhamu and Delson Chikobvu
| Year of publication: |
October 2017
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|---|---|
| Authors: | Chinhamu, Knowledge ; Chikobvu, Delson |
| Published in: |
Journal of economic and financial sciences. - Johannesburg : University of Johannesburg, ISSN 1995-7076, ZDB-ID 2843939-9. - Vol. 10.2017, 3, p. 508-512
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| Subject: | Christoffersen | GARCH | generalised hyperbolic distribution | gold | Kupiec test | stable distribution | Value-at-Risk | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Gold | ARCH-Modell | ARCH model | Theorie | Theory | Schätzung | Estimation |
| 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/10011795972