SkewTGARCHLogLik.m
Creators:
Ivana Komunjer
From the dataset abstract
Theoretical literature in finance has shown that the risk of financial time series can be well quantified by their expected shortfall, also known as the tail value-at-risk. In this paper,...
Source: Asymmetric power distribution: Theory and applications to risk measurement (replication data)
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Metadata
| Field | Value |
|---|---|
| Format | application/vnd.wolfram.mathematica.package |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/2f1f3dae-151f-49e1-b6f7-46f5aa142761/resource/4fc832f9-8621-459c-9a78-c9131db01a26/download/skewtgarchloglik.m |
| Last updated | November 15, 2022 |
| Created | November 15, 2022 |
