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An empirical comparison of methods for incorporating fat tails into value-at-risk models

Jean-Luc Prigent 1 Vijay Pant Weita Chang 
1 THEMA - Théorie économique, modélisation et applications
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Submitted on : Thursday, May 26, 2022 - 11:10:12 PM
Last modification on : Friday, May 27, 2022 - 3:57:56 PM

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CNRS | UNIV-CERGY | INSMI | THEMA-UMR8184 | CY-TECH-SM

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Jean-Luc Prigent, Vijay Pant, Weita Chang. An empirical comparison of methods for incorporating fat tails into value-at-risk models. The Journal of Risk, Risk.net, 2001, 3 (3), pp.99-119. ⟨10.21314/JOR.2001.045⟩. ⟨hal-03679682⟩

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