Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach. Issue 8 (3rd August 2019)
- Record Type:
- Journal Article
- Title:
- Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach. Issue 8 (3rd August 2019)
- Main Title:
- Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach
- Authors:
- Bee, M.
Hambuckers, J.
Trapin, L. - Abstract:
- Abstract : The g-and-h distribution is able to handle well the complex behavior of loss data and applied to operational losses suggests that indirect inference estimators of VaR outperform quantile-based estimators
- Is Part Of:
- Quantitative finance. Volume 19:Issue 8(2019)
- Journal:
- Quantitative finance
- Issue:
- Volume 19:Issue 8(2019)
- Issue Display:
- Volume 19, Issue 8 (2019)
- Year:
- 2019
- Volume:
- 19
- Issue:
- 8
- Issue Sort Value:
- 2019-0019-0008-0000
- Page Start:
- 1255
- Page End:
- 1266
- Publication Date:
- 2019-08-03
- Subjects:
- Finance -- Periodicals
Business mathematics -- Periodicals
Finance -- Mathematical models -- Periodicals
Investments -- Mathematics -- Periodicals
Economics -- Periodicals
Finances -- Modèles mathématiques -- Périodiques
332.015118 - Journal URLs:
- http://www.tandfonline.com/toc/rquf20/current ↗
http://www.tandfonline.com/ ↗ - DOI:
- 10.1080/14697688.2019.1580762 ↗
- Languages:
- English
- ISSNs:
- 1469-7688
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 7168.333200
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 11004.xml