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1 research outputs found
Shortcomings of a Parametric VaR Approach and Nonparametric Improvements Based on a Non-Stationary Return Series Model
Author
Benoit Mandelbrot
Black
+35 more
Bougerol
Catalin Starica
Choi
Christopher G Lamoureux
Clive W J Granger
Daniel B Nelson
Daniel Straumann
De Haan
Drees
Eugene Fama
Fan
Francis X Diebold
Harry M Markowitz
James D Hamilton
Kitagawa
M � Uller
Marc G � Urtler
Marc Gürtler
Mikosch
Mikosch
Ngai H Chan
Norman L Johnson
Paul A Samuelson
Paul Kupiec
Philippe Jorion
Robert C Merton
Robert F Engle
Robert F Engle
Ronald Rauh
Stefano Herzel
Stephen J Taylor
Theo Gasser
Tim Bollerslev
Tim Bollerslev
Zhuanxin Ding
Publication venue
'Elsevier BV'
Publication date
01/01/2009
Field of study
Full text link
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