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FAMILY OF RISK MEASURES VAR AT AN ARBITRARY DEGREE t> = 1. METHODS OF THEIR CALCULATION AND APPLICATION
[СЕМЕЙСТВО МЕР РИСКА VAR В ПРОИЗВОЛЬНОЙ СТЕПЕНИ t >= 1. СПОСОБЫ ИХ ВЫЧИСЛЕНИЯ И ПРИМЕНЕНИЯ]

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Abstract

The paper proposes new measures of risk VaR in various degrees, investigates properties, proposes formulas for their calculation and application.

Suggested Citation

  • Minasyan Vigen, 2021. "FAMILY OF RISK MEASURES VAR AT AN ARBITRARY DEGREE t> = 1. METHODS OF THEIR CALCULATION AND APPLICATION [СЕМЕЙСТВО МЕР РИСКА VAR В ПРОИЗВОЛЬНОЙ СТЕПЕНИ t >= 1. СПОСОБЫ ИХ ВЫЧИСЛЕНИЯ И ПРИМЕНЕНИЯ]," Working Papers s21123, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:wpaper:s21123
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    Keywords

    economectrics; theoretical econometrics; VAR-models;
    All these keywords.

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