dj.data
Creators:
Pierre Giot
;
Sébastien Laurent
From the dataset abstract
In this paper we model Value-at-Risk (VaR) for daily asset returns using a collection of parametric univariate and multivariate models of the ARCH class based on the skewed Student...
Source: Value-at-risk for long and short trading positions (replication data)
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Metadata
| Field | Value |
|---|---|
| Format | data |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/a62ed892-3741-42ea-9368-76f663f8c81a/resource/f22fe2fc-5ee3-4bdf-a7ab-ee2ec888685f/download/dj.data |
| Last updated | November 10, 2022 |
| Created | November 10, 2022 |
