An extension of the NIG-S&ARCH model with an application to Value at Risk

Anders Wilhelmsson

Research output: Chapter in Book/Report/Conference proceedingConference contributionScientific

Original languageEnglish
Title of host publicationSymposium i Anvendt Statistik 2006
EditorsPeter Linde
Place of PublicationCopenhagen
Publication date2006
ISBN (Print)87-501-1516-2
Publication statusPublished - 2006
MoE publication typeB3 Article in conference proceedings

Cite this

Wilhelmsson, A. (2006). An extension of the NIG-S&ARCH model with an application to Value at Risk. In P. Linde (Ed.), Symposium i Anvendt Statistik 2006