Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices-Reference-Cited by-同舟云学术

Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices

Published:2006-08 Issue:1 Volume:27 Page:27-46
ISSN:0924-865X
Container-title:Review of Quantitative Finance and Accounting
language:en
Short-container-title:Rev Quant Finan Acc

Author:

Baixauli J. Samuel,Alvarez Susana

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Business, Management and Accounting,Accounting

Link

http://link.springer.com/content/pdf/10.1007/s11156-006-8541-9.pdf

Reference41 articles.

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4. Bollerslev T, Engle RF, Nelson DB (1994) ARCH models. In: Engle, Mc Fadden (eds) Handbook in Econometrics, vol. 4. North-Holland, Amsterdam, pp 2959–3038

5. Brier GW (1950) Verification of forecasts expressed in terms of probability. Mon Weather Rev 75:1–3

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