Title :
ESTIMATING VALUE AT RISK AND THE EXPECTED SHORTFALL FOR HETEROSCEDASTIC FINANCIAL LOG RETURNS: A TWO-STAGE METHOD
Author :
Jean-Pierre Fouque استاد مشاور , David A. Dickey استاد مشاور , Peter Bloomfield استاد راهنما , Sujit K. Ghosh استاد مشاور
University :
Virginia Polytechnic Institute and state University
Keyword :
tree-GARCH , heteroscedastic , the Expected Shortfall , VALUE AT RISK
