Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
Work
Year: 2009
Type: article
Source: Econometrics Journal
Author Anders Wilhelmsson
Institution Lund University
Cites: 67
Cited by: 61
Related to: 10
FWCI: 4.225
Citation percentile (by year/subfield): 97.57
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: closed