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Computing VaR and AVaR of Skewed-T Distribution

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References

1994Autoregressive Conditional Density Estimation1,580 cited
2007The t Copula and Related Copulas964 cited
2005Calibration of multivariate generalized hyperbolic distributions using the em algorithm, with applications in risk management, portfolio optimization and portfolio credit risk60 cited
2006Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory36 cited

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2008Stochastic models for risk estimation in volatile markets: a survey37 cited
2017Heavy-Tailed Distributions and Risk Management of Equity Market Tail Events23 cited

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