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Value at Risk 1 heteroscedastic 1 the Expected Shortfall 1 tree-GARCH 1
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David A. Dickey 1 Jean-Pierre Fouque 1 Peter Bloomfield 1 Sujit K. Ghosh 1 Wu, Weiwei 1
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Estimating Value at Risk and the Expected Shortfall for Heteroscedastic Financial Log Returns: A Two-Stage Method
Wu, Weiwei - 2005
Value at Risk and the Expected Shortfall are two measurements of market risks for financial assets. Statistically, they are extreme quantiles of the distribution of financial log returns. Though financial log return data are usually both heteroscedastic and fatter-tailed, most of the existing...
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