Open AccessComparison of semiparametric methods to estimate VaR and ES
Author(s) -
Minjo Kim,
Sangyeol Lee
Publication year - 2016
Publication title -
eung'yong tong'gye yeon'gu/the korean journal of applied statistics
Language(s) - English
Resource type - Journals
eISSN - 2383-5818
pISSN - 1225-066X
DOI - 10.5351/kjas.2016.29.1.171
Subject(s) - value at risk , econometrics , expected shortfall , autoregressive model , estimator , mathematics , statistics , autoregressive conditional heteroskedasticity , stock market index , index (typography) , vector autoregression , conditional expectation , economics , stock market , risk management , volatility (finance) , computer science , finance , paleontology , horse , world wide web , biology