Nonparametric inference of value-at-risk for dependent financial returns

Journal of Financial Econometrics

Volumn 3, Issue 2, 2005, Pages 227-255

  Chen, Song Xi ^a   Tang, Cheng Yong ^a  

^a IOWA STATE UNIVERSITY   (United States)

Author keywords

mixing; Kernel estimation; Sample quantile; Spectral density estimation; Standard error estimation

Indexed keywords

EID: 27244446882     PISSN: 14798409     EISSN: None     Source Type: Journal    
DOI: 10.1093/jjfinec/nbi012     Document Type: Article

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