Value at Risk with time varying variance, skewness and...

Value at Risk with time varying variance, skewness and kurtosis—the NIG-ACD model

Anders Wilhelmsson
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Volume:
12
Year:
2009
Language:
english
Journal:
The Econometrics Journal
DOI:
10.2307/23116667
File:
PDF, 2.14 MB
english, 2009
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