Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 137 (2007)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/jeconom
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- Cheng, Wan-Hsiu & Hung, Jui-Cheng, 2011. "Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 160-173, January.
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