CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features (Q6576188)
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scientific article; zbMATH DE number 7884593
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| English | CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features |
scientific article; zbMATH DE number 7884593 |
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CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features (English)
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22 July 2024
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Value-at-Risk
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Expected Shortfall
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CAViaR-type models
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component models
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long range dependence
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