Open AccessA Skewed Student-t Value-at-Risk Approach for Long Memory Volatility Processes in Japanese Financial Markets
Author(s) -
Seong¡-Min Yoon,
Seong-Hoon Kang
Publication year - 2007
Publication title -
east asian economic review
Language(s) - English
Resource type - Journals
eISSN - 2508-1667
pISSN - 2508-1640
DOI - 10.11644/kiep.jeai.2007.11.1.169
Subject(s) - economics , volatility (finance) , financial economics , value (mathematics) , value at risk , financial market , monetary economics , finance , risk management , mathematics , statistics