Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model (Q3566440)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model |
scientific article |
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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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