Estimation of dynamic VaR using JSU and PIV distributions
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DOI: 10.1057/s41283-016-0002-8
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- Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2018. "Hyperbolic normal stochastic volatility model," Papers 1809.04035, arXiv.org.
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Keywords
Value at risk; ARMA; GARCH; Johnson’s SU distribution (JSU); Pearson type IV distribution (PIV);All these keywords.
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