Efficient estimation of conditional risk measures in a semiparametric GARCH model

First Author: Shang D

Attributed to: The Centre for Microdata Methods and Practice funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1920/wp.cem.2012.2512

Publication URI: http://dx.doi.org/10.1920/wp.cem.2012.2512

Type: Working Paper