Saddle point approximation and volatility estimation of value-at-risk

Tian, Maozai, Chan, Ngai Hang . Statistica Sinica 2010. 20 (3) :1239-1256

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Bibtex

@article{CIS-246815,
  Author = {Tian, Maozai and Chan, Ngai Hang},
  Title = {Saddle point approximation and volatility estimation of value-at-risk},
  Journal = {Statistica Sinica},
  Volume = {20},
  Number = {3},
  Year = {2010},
  Pages = {1239--1256},
  Keywords = {Heteroscedasticity, Generalized hyperbolic distribution, GARCH models, quasi-residuals, saddle point approximations, volatility estimate}
}

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