高频数据下基于PGARCH模型的VaR估计方法及应用

樊鹏英, 兰勇, 陈敏

The estimating method of VaR based on PGARCH model with high-frequency data

FAN Pengying, LAN Yong, CHEN Min

系统工程理论与实践 . 2017, (8): 2052 -2059 . DOI: 10.12011/1000-6788(2017)08-2052-08