This paper compares the fitting of the normal, generalized hyperbolic, normal inverse Gaussian and Student t distributions with the daily returns of the Portuguese Stock Index PSI-20 over the period 1992-2013.We...
This paper assesses the performance of twelve generalized autoregressive conditional heteroskedasticity (GARCH)-type models for modeling the 99% value-at-risk (VaR) for indexes from countries classified...
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