A conditional approach to VaR with multivariate α-stable sub-Gaussian distributions: Estimación del VaR mediante un modelo condicional multivariado bajo la hipótesis α-estable sub-Gaussiana
The purpose of this investigation is to propose a multivariate volatility model that takes into consideration time varying volatility and the property of the α-stable sub-Gaussian distribution to model heavy tails. The principal assumption is that returns follow a sub-Gaussian distribution, which is...
| Autores principales: | , |
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| Formato: | Artículo |
| Lenguaje: | spa |
| Publicado: |
Universidad Autónoma de Nuevo León
2018
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| Acceso en línea: | https://ensayos.uanl.mx/index.php/ensayos/article/view/121 |