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A method for predicting VaR by aggregating generalized distributions driven by the dynamic conditional score
Song, Shijia; Li, Handong - In: The quarterly review of economics and finance : journal … 88 (2023), pp. 203-214
Persistent link: https://www.econbiz.de/10014428040
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An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution
Song, Shijia; Tian, Fei; Li, Handong - In: Journal of Asian economics 74 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10012803294
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Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution
Song, Shijia; Li, Handong - In: International review of financial analysis 82 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013426497