DocumentCode
13011
Title
ESTIMATING VALUE AT RISK AND THE EXPECTED SHORTFALL FOR HETEROSCEDASTIC FINANCIAL LOG RETURNS: A TWO-STAGE METHOD
Author
Jean-Pierre Fouque استاد مشاور , David A. Dickey استاد مشاور , Peter Bloomfield استاد راهنما , Sujit K. Ghosh استاد مشاور
University
Virginia Polytechnic Institute and state University
Grade
نامعلوم
Major
PhD )Statistics(
Number of pages
0
Publish Date
2003
Keyword
tree-GARCH , heteroscedastic , the Expected Shortfall , VALUE AT RISK
Note
01
Language
انگليسي
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