Value at Risk with time varying variance, skewness and kurtosis—the NIG-ACD model
Article first published online: 19 FEB 2009
© The Author(s). Journal compilation © Royal Economic Society 2009
The Econometrics Journal
Volume 12, Issue 1, pages 82–104, March 2009
How to Cite
Wilhelmsson, A. (2009), Value at Risk with time varying variance, skewness and kurtosis—the NIG-ACD model. The Econometrics Journal, 12: 82–104. doi: 10.1111/j.1368-423X.2008.00277.x
- Issue published online: 19 FEB 2009
- Article first published online: 19 FEB 2009
- First version received: October 2007; final version accepted: November 2008
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