"Confidence intervals for ARMA-GARCH Value-at-Risk: The case of heavy tails ..."

Laura Spierdijk (2016)

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DOI: 10.1016/J.CSDA.2014.08.011

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type: Journal Article

metadata version: 2021-10-14

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Laura Spierdijk:
Confidence intervals for ARMA-GARCH Value-at-Risk: The case of heavy tails and skewness. Comput. Stat. Data Anal. 100: 545-559 (2016)

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