A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models
From MaRDI portal
Publication:4687267
DOI10.1002/FOR.1224zbMath1397.91601OpenAlexW1935464620MaRDI QIDQ4687267
Kanchan Mukherjee, Farhat Iqbal
Publication date: 11 October 2018
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/for.1224
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items (1)
This page was built for publication: A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models
