✦ LIBER ✦

Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation

✍ Scribed by Jung-Bin Su; Jui-Cheng Hung

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Confidence intervals for ARMA–GARCH Valu

✍ Spierdijk, Laura 📂 Article 📅 2016 🏛 Elsevier Science 🌐 English ⚖ 611 KB

Empirical study of value‐at‐risk and exp

✍ Harmantzis, Fotios C.; Miao, Linyan; Chien, Yifan 📂 Article 📅 2006 🏛 Emerald Group Publishing Limited 🌐 English ⚖ 226 KB

Estimation of Value-at-Risk under jump d

✍ Chiu, Chien-Liang; Lee, Ming-Chih; Hung, Jui-Cheng 📂 Article 📅 2005 🏛 Taylor and Francis Group 🌐 English ⚖ 197 KB

On the non-existence of conditional valu

✍ Günter Bamberg; Andreas Neuhierl 📂 Article 📅 2008 🏛 Springer 🌐 German ⚖ 404 KB