Value-at-risk in US stock indices with skewed generalized error distribution

Ming-Chih Lee, Jung-Bin Su and Hung-Chun Liu

Year of publication:	2008
Authors:	Lee, Ming-chih ; Su, Jung-Bin ; Liu, Hung-Chun
Published in:	Applied financial economics letters. - Abingdon : Routledge, ISSN 1744-6546, ZDB-ID 2175172-9. - Vol. 4.2008, 4/6, p. 425-431
Subject:	Risikomaß \| Risk measure \| Aktienindex \| Stock index \| Statistische Verteilung \| Statistical distribution \| Statistischer Fehler \| Statistical error \| Volatilität \| Volatility \| Theorie \| Theory \| USA \| United States \| ARCH-Modell \| ARCH model

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