Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model (Q3566440): Difference between revisions

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Latest revision as of 11:11, 30 July 2024

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Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
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    Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model (English)
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    8 June 2010
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    GARCH
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    normal inverse Gaussian distribution
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    time varying kurtosis
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    time varying skewness
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    value at risk
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