Author:
Bhattacharyya Malay,Chaudhary Abhishek,Yadav Gaurav
Subject
Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering
Reference39 articles.
1. Evaluation of Pearson curves as an approximation of the maximum probable annual aggregate loss;Aiuppa;Journal of Risk and Insurance,1988
2. Normal mixture GARCH(1,1): applications to foreign exchange markets;Alexander;Journal of Applied Econometrics,2006
3. Normal inverse Gaussian distributions and stochastic volatility modeling;Barndorff-Nielsen;Scandinavian Journal of Statistics,1997
4. ARCH models: properties, estimation and testing;Bera;Journal of Economic Surveys,1993
5. Kodase, B.K., Misra, N., 2007. MATLAB code for dynamic MaxVaR computation. Code available from authors under GNU General Public License on request.
Cited by
27 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献