Markov-Switching GARCH Modelling of Value-at-Risk (Q3574728)

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Markov-Switching GARCH Modelling of Value-at-Risk
scientific article

    Statements

    title
    Markov-Switching GARCH Modelling of Value-at-Risk (English)
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    author
    Rasoul Sajjad
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    Jerry Coakley
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    John C. Nankervis
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    publication date
    2 July 2010
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    Identifiers

    zbMATH DE Number
    5729876
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