Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...
Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 27, No. 1 (1978), pp. 76-77 (2 pages) This note proposes an approximation to the cumulative normal distribution and its ...
It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...
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