Interval estimation of value-at-risk based on GARCH models...

Journal of Econometrics 2007 Vol. 137; Iss. 2

Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations

Ngai Hang Chan, Shi-Jie Deng, Liang Peng, Zhendong Xia
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Volume:
137
Year:
2007
Language:
english
Pages:
21
DOI:
10.1016/j.jeconom.2005.08.008
File:
PDF, 506 KB
english, 2007
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