Value‐at‐risk under market shifts through highly flexible models

DOI10.1002/FOR.2503zbMath1414.91419OpenAlexW2784020487MaRDI QIDQ5379280

Skander Slim, Sabri Boubaker, Duc Khuong Nguyen, Ahmed BenSaïda

Publication date: 28 May 2019

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2503

zbMATH Keywords

value-at-riskvolatilityregime-switchingAPARCHflexible distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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