Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model (Q3566440)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model |
scientific article |
Statements
Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model (English)
0 references
8 June 2010
0 references
GARCH
0 references
normal inverse Gaussian distribution
0 references
time varying kurtosis
0 references
time varying skewness
0 references
value at risk
0 references
0 references
0 references
0 references
0 references
