scientific article
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Publication date: 13 August 2010
Full work available at URL: http://www3.stat.sinica.edu.tw/statistica/J20N3/J20N314/J20N314.html
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heteroscedasticityGARCH modelsquasi-residualsgeneralized hyperbolic distributionsaddle point approximationsvolatility estimate and value-at-risk
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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