An empirical comparison of methods for incorporating fat tails into value-at-risk models

Jean-Luc Prigent (), Vijay Pant and Weita Chang
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Jean-Luc Prigent: THEMA - Théorie économique, modélisation et applications - CNRS - Centre National de la Recherche Scientifique - CY - CY Cergy Paris Université

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Date: 2001-04
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Published in The Journal of Risk, 2001, 3 (3), pp.99-119. ⟨10.21314/JOR.2001.045⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03679682

DOI: 10.21314/JOR.2001.045

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