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"Accurate value-at-risk forecasting based on the normal-GARCH model."

Christoph Hartz, Stefan Mittnik, Marc S. Paolella (2006)

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DOI: 10.1016/J.CSDA.2006.09.017

access: closed

type: Journal Article

metadata version: 2021-10-14

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Christoph Hartz, Stefan Mittnik, Marc S. Paolella:
Accurate value-at-risk forecasting based on the normal-GARCH model. Comput. Stat. Data Anal. 51(4): 2295-2312 (2006)

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