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Alternative statistical distributions for estimating value-at-risk: theory and evidence · Study

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ArticleAlternative statistical distributions for estimating value-at-risk: theory and evidence

Chih‐Yung Lin2011

Article2011

Alternative statistical distributions for estimating value-at-risk: theory and evidence

Chih‐Yung Lin · Jung‐Bin Su

33 citations·0/0 files stored·Review of Quantitative Finance and Accounting

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1986Generalized autoregressive conditional heteroskedasticity 1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1992ARCH modeling in finance 2000Value At Risk: The New Benchmark for Managing Financial Risk 1995Techniques for Verifying the Accuracy of Risk Measurement Models 2004CAViaR

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2015Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market

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Year2011

Typearticle

Published2011-10-07

VenueReview of Quantitative Finance and Accounting

ISSN-L0924-865X

Languageen

Citations33

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s11156-011-0256-x

openalex_workW2039928620

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