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  • Search: subject:"modèle NGARCH (Nonlinear Generalized AutoRegressive Conditional Heteroscedasticity)"
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NGARCH model 1 asymmetric distribution 1 distribution asymétrique 1 expected shortfall 1 manque à gagner prévu 1 modèle NGARCH (Nonlinear Generalized AutoRegressive Conditional Heteroscedasticity) 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Galbraith, John 1 Zhu, Dongming 1
Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1
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CIRANO Working Papers 1
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RePEc 1
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Forecasting Expected Shortfall with a Generalized Asymmetric Student-t Distribution
Zhu, Dongming; Galbraith, John - Centre Interuniversitaire de Recherche en Analyse des … - 2009
Financial returns typically display heavy tails and some skewness, and conditional variance models with these features often outperform more limited models. The difference in performance may be especially important in estimating quantities that depend on tail features, including risk measures...
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