FAMILY OF RISK MEASURES VAR AT AN ARBITRARY DEGREE t> = 1. METHODS OF THEIR CALCULATION AND APPLICATION

СЕМЕЙСТВО МЕР РИСКА VAR В ПРОИЗВОЛЬНОЙ СТЕПЕНИ t >= 1. СПОСОБЫ ИХ ВЫЧИСЛЕНИЯ И ПРИМЕНЕНИЯ

Minasyan Vigen ()
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Minasyan Vigen: Russian Presidential Academy of National Economy and Public Administration, https://www.ranepa.ru/eng/

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: The paper proposes new measures of risk VaR in various degrees, investigates properties, proposes formulas for their calculation and application.

Keywords: economectrics; theoretical econometrics; VAR-models (search for similar items in EconPapers)
Pages: 30 pages
Date: 2021-01
New Economics Papers: this item is included in nep-rmg
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