Refining value-at-risk estimates using a Bayesian...

Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model

Sampid, Marius Galabe, Hasim, Haslifah M., Dai, Hongsheng, Chen, Cathy W.S.
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Volume:
13
Language:
english
Journal:
PLOS ONE
DOI:
10.1371/journal.pone.0198753
Date:
June, 2018
File:
PDF, 6.14 MB
english, 2018
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