The University of Southampton
×
Filter your search:
University of Southampton Institutional Repository

Index-Exciting CAViaR: a new empirical time-varying risk model

Index-Exciting CAViaR: a new empirical time-varying risk model
Index-Exciting CAViaR: a new empirical time-varying risk model
1558-3708
p.1
Huang, Dashan
733a3edc-6bbf-496e-bc32-0d2c13d5588f
Yu, Baimin
d2619507-b815-4b9b-90c9-6cc77963a420
Lu, Zudi
4aa7d988-ac2b-4150-a586-ca92b8adda95
Fabozzi, Frank J.
4520c394-62b7-4ff1-9973-45268a63006c
Focardi, Sergio
0a6a6741-7d22-4c32-81e7-49281ebb8e86
Fukushima, Masao
b542d8b9-7670-4ad2-bd85-240d7e6192e8
Huang, Dashan
733a3edc-6bbf-496e-bc32-0d2c13d5588f
Yu, Baimin
d2619507-b815-4b9b-90c9-6cc77963a420
Lu, Zudi
4aa7d988-ac2b-4150-a586-ca92b8adda95
Fabozzi, Frank J.
4520c394-62b7-4ff1-9973-45268a63006c
Focardi, Sergio
0a6a6741-7d22-4c32-81e7-49281ebb8e86
Fukushima, Masao
b542d8b9-7670-4ad2-bd85-240d7e6192e8

Huang, Dashan, Yu, Baimin, Lu, Zudi, Fabozzi, Frank J., Focardi, Sergio and Fukushima, Masao (2010) Index-Exciting CAViaR: a new empirical time-varying risk model. Studies in Nonlinear Dynamics & Econometrics, 14 (2), p.1. (doi:10.2202/1558-3708.1805).

Record type: Article

This record has no associated files available for download.

More information

Published date: 2010
Organisations: Mathematical Sciences
Learn more about Mathematical Sciences research

Identifiers

Local EPrints ID: 360477
URI: http://eprints.soton.ac.uk/id/eprint/360477
DOI: doi:10.2202/1558-3708.1805
ISSN: 1558-3708
PURE UUID: c9b471d0-5fc1-4363-8fce-2ea599319538
ORCID for Zudi Lu: ORCID iD orcid.org/0000-0003-0893-832X

Catalogue record

Date deposited: 10 Dec 2013 14:50
Last modified: 15 Mar 2024 03:49

Export record

Altmetrics

Contributors

Author: Dashan Huang
Author: Baimin Yu
Author: Zudi Lu ORCID iD
Author: Frank J. Fabozzi
Author: Sergio Focardi
Author: Masao Fukushima

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Library staff additional information
Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×