Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10012307930
This article considers risk measures constructed under a discrete mixture-of-normal distribution on the innovations of a GARCH model with time-varying volatility. The authors use an approach based on a continuous empirical characteristic function to estimate the parameters of the model using...
Persistent link: https://www.econbiz.de/10013083965
Persistent link: https://www.econbiz.de/10008655519
Persistent link: https://www.econbiz.de/10003975377
Persistent link: https://www.econbiz.de/10012416088
Persistent link: https://www.econbiz.de/10012430436