Value at Risk and Expected Shortfall under General Semi-parametric GARCH models

Xuehai Zhang (xuehai@mail.uni-paderborn.de)
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Xuehai Zhang: Paderborn University

No 123, Working Papers CIE from Paderborn University, CIE Center for International Economics

Abstract: Republished as CIE Working Paper 2019-09

Pages: 43 pages
Date: 2019-08
New Economics Papers: this item is included in nep-ban, nep-ecm, nep-ore and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pdn:ciepap:123

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