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"Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation."

Nikolay Y. Nikolaev, Georgi N. Boshnakov, Robert Zimmer (2013)

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DOI: 10.1016/J.ESWA.2012.10.038

access: closed

type: Journal Article

metadata version: 2017-05-26

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  dblp key:
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  - https://dblp.org/rec/journals/eswa/NikolaevBZ13
Nikolay Y. Nikolaev, Georgi N. Boshnakov, Robert Zimmer:
Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation. Expert Syst. Appl. 40(6): 2233-2243 (2013)

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