A conditional-SGT-VaR approach with alternative GARCH models (Q2480227)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A conditional-SGT-VaR approach with alternative GARCH models |
scientific article |
Statements
A conditional-SGT-VaR approach with alternative GARCH models (English)
0 references
31 March 2008
0 references
GARCH models
0 references
skewed generalized \(t\) distribution
0 references
conditional value at risk
0 references
expected shortfall
0 references
0 references
0 references
