Showing 1 - 2 of 2
estimate the model and we discuss the potential effects of time-varying skewness and kurtosis on the performance of the model …
Persistent link: https://www.econbiz.de/10005212597
The article proposes a new algorithm for adjusting correlation matrices and for comparison with Finger's algorithm, which is used to compute Value-at-Risk in RiskMetrics for stress test scenarios. The solution proposed by the new methodology is always better than Finger's approach in the sense...
Persistent link: https://www.econbiz.de/10005731376