High-order moments and extreme value approach for value-at-risk
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More about this item
KeywordsValue-at-Risk; Skewed generalized t distribution; Extreme value theory; Tail-index; VaR-x method;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
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