Value at risk with time varying variance, skewness and kurtosis-the NIG-ACD model (Q3566440)
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scientific article; zbMATH DE number 5717880
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| English | Value at risk with time varying variance, skewness and kurtosis-the NIG-ACD model |
scientific article; zbMATH DE number 5717880 |
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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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0.8530017733573914
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0.8134031891822815
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0.7841427326202393
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0.7819297909736633
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0.7803881168365479
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