Estimation of tail risk based on realized GARCH model with skew-t distribution

HUANG You-po, TANG Zhen-peng, ZHOU Xi-wen

Systems Engineering - Theory & Practice ›› 2015, Vol. 35 ›› Issue (9) : 2200-2208.

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中国科学院数学与系统科学研究院期刊网
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Systems Engineering - Theory & Practice ›› 2015, Vol. 35 ›› Issue (9) : 2200-2208. DOI: 10.12011/1000-6788(2015)9-2200

Estimation of tail risk based on realized GARCH model with skew-t distribution

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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2015, 35(9): 2200-2208 https://doi.org/10.12011/1000-6788(2015)9-2200

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