Work

Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation

Year: 2011

Type: article

Source: Economic Modelling

DOI: 10.1016/j.econmod.2010.11.016

Authors: Jung-Bin Su, Jui-Cheng Hung

Institutions: China University of Science and Technology, Chinese Culture University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2079546641

FWCI: 4.183

Cites: 37

Cited by: 53

Related to: 10