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The financial measurement of VaR under the GARCH model based on empirical distribution (Q3385131)

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scientific article
Language Label Description Also known as
English
The financial measurement of VaR under the GARCH model based on empirical distribution
scientific article

    Statements

    publication date
    17 December 2021
    0 references
    zbMATH Keywords
    VaR
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    standard GARCH model
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    cumulative empirical distribution function
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    tail distribution
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    Identifiers

    zbMATH DE Number
    7448198
    0 references
     
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