A new approach to Value-at-Risk: GARCH-TSLx model with inference (Q5083929)
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scientific article; zbMATH DE number 7545517
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new approach to Value-at-Risk: GARCH-TSLx model with inference |
scientific article; zbMATH DE number 7545517 |
Statements
A new approach to Value-at-Risk: GARCH-TSLx model with inference (English)
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21 June 2022
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GARCH
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GJR-GARCH
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Lomax distribution
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value-at-risk
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volatility
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0.8881185
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0.87222177
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0.8706769
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0.86738837
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0.86687696
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0.8640008
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0.8601448
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