The Financial Risk Measurement EVaR Based on DTARCH Models

The value at risk based on expectile (EVaR) is a very useful method to measure financial risk, especially in measuring extreme financial risk. The double-threshold autoregressive conditional heteroscedastic (DTARCH) model is a valuable tool in assessing the volatility of a financial asset’s return....

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Detalles Bibliográficos
Autores principales: Liu, Xiaoqian, Tan, Zhenni, Wu, Yuehua, Zhou, Yong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10453247/
https://www.ncbi.nlm.nih.gov/pubmed/37628234
http://dx.doi.org/10.3390/e25081204

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10453247/
https://www.ncbi.nlm.nih.gov/pubmed/37628234
http://dx.doi.org/10.3390/e25081204

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