Publisher
Springer Nature Switzerland
Reference34 articles.
1. Angelidis, T., Benos, A., Degiannakis, S.: A robust var model under different time periods and weighting schemes. Rev. Quan. Financ. Acc. 28(2), 187–201 (2007). https://doi.org/10.1007/s11156-006-0010-y
2. Apergis, N., Gabrielsen, A.: Optimal hedge ratio estimation during the credit crisis: an application of higher moments. Front. Financ. Econ. 21(9), 64–84 (2012)
3. Blasques, F., Ji, J., Lucas, A.: Semiparametric score driven volatility models. Comput. Stat. Data Anal. 100, 58–69 (2016)
4. Blasques, F., Koopman, S., Lucas, A.: Maximum likelihood estimation for generalized autoregressive score models, Tinbergen Institute (2014)
5. Burns, P.J.: The quality of value at risk via univariate garch. SSRN Electron. J. (2003). https://doi.org/10.2139/ssrn.443540