A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns
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- Luiz Vitiello & Ser-Huang Poon, 2014. "Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing," Review of Derivatives Research, Springer, vol. 17(2), pages 241-259, July.
More about this item
KeywordsDynamic VaR; GARCH; EVT; Johnson SU; Pearson Type IV; Mixture of Normal Distributions; Manly; John Draper; Yeo-Johnson Transformations;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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