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Journal Articles The Journal of Risk Year : 2001

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

Jean-Luc Prigent
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  • PersonId : 1134801
Théorie économique, modélisation et applications
Vijay Pant
  • Function : Author
Weita Chang
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Mathematics [math] Humanities and Social Sciences Statistics [stat] Quantitative Finance [q-fin]

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https://hal-cyu.archives-ouvertes.fr/hal-03679682

Submitted on : Thursday, May 26, 2022-11:10:12 PM

Last modification on : Friday, March 24, 2023-2:53:27 PM

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hal-03679682 , version 1 (26-05-2022)

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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, 2001, 3 (3), pp.99-119. ⟨10.21314/JOR.2001.045⟩. ⟨hal-03679682⟩

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