A conditional-SGT-VaR approach with alternative GARCH models (Q2480227): Difference between revisions

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Latest revision as of 20:31, 27 June 2024

scientific article
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A conditional-SGT-VaR approach with alternative GARCH models
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    A conditional-SGT-VaR approach with alternative GARCH models (English)
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    31 March 2008
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    GARCH models
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    skewed generalized \(t\) distribution
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    conditional value at risk
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    expected shortfall
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