Quantile-based estimative VaR forecast and dependence measure: a simulation approach
DOI10.1155/2020/8276019zbMATH Open1442.62229OpenAlexW3019902101MaRDI QIDQ778634FDOQ778634
Authors: K. I. A. Syuhada, Risti Nur'aini, Mahfudhotin 
Publication date: 3 July 2020
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2020/8276019
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- Optimal dynamic hedging via copula-threshold-GARCH models
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- Forecasting value-at-risk with a duration-based POT method
- The asymptotic efficiency of improved prediction intervals
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