FIGARCH-type models and VaR based on skewed student t-distribution

zbMATH Open1265.91089MaRDI QIDQ4901545FDOQ4901545

Authors: Yanlong Huang 

Publication date: 24 January 2013

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zbMATH Keywords

value at riskdynamic quantile testFIGARCH-type modelsskewed student \(t\)-distribution

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited In (6)

• Dependence between volatility persistence, kurtosis and degrees of freedom
• A value-at-risk analysis of carry trades using skew-GARCH models
• The use of GARCH models in VaR estimation
• Research on risk measurement of 5G plate based on skew-\(t\)-GJRGARCH (1, 1) model
• Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
• Value at risk with time varying variance, skewness and kurtosis-the NIG-ACD model

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