Fitting a Pareto-Normal-Pareto distribution to the residuals of financial data
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DOI: 10.1007/BF03354611
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- Grace Lee Ching Yap, 2020. "Optimal Filter Approximations for Latent Long Memory Stochastic Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 547-568, August.
- Glenn, N.L. & Zhao, Yichuan, 2007. "Weighted empirical likelihood estimates and their robustness properties," Computational Statistics & Data Analysis, Elsevier, vol. 51(10), pages 5130-5141, June.
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Keywords
GARCH models; Extreme Value Theory; Value-at-Risk; Expected Shortfall;All these keywords.
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