FIGARCH-type models and VaR based on skewed student \(t\)-distribution (Q4901545)
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scientific article; zbMATH DE number 6129998
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| English | FIGARCH-type models and VaR based on skewed student \(t\)-distribution |
scientific article; zbMATH DE number 6129998 |
Statements
24 January 2013
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value at risk
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FIGARCH-type models
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skewed student \(t\)-distribution
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dynamic quantile test
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0.8008089661598206
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0.7983975410461426
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0.7815555334091187
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0.7803881168365479
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0.7792844176292419
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