On some models for value-at-risk

Econometric Reviews

Volumn 29, Issue 5, 2010, Pages 622-641

  Yu, Philip L H ^a   Li, Wai Keung ^a   Jin, Shusong ^b  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

^b FUDAN UNIVERSITY   (China)

Author keywords

GARCH model; Mixtures; Threshold models; Value at risk

Indexed keywords

EID: 77956758299     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474938.2010.481972     Document Type: Article

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