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- W2526239836 abstract "In this paper, we propose a value-at-risk (VaR) estimation technique based on a new stochastic volatility model with leverage effect, nonconstant conditional mean and jump. In order to estimate the..." @default.
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- W2526239836 date "2017-04-21" @default.
- W2526239836 modified "2023-09-23" @default.
- W2526239836 title "Value at risk estimation under stochastic volatility models using adaptive PMCMC methods" @default.
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- W2526239836 doi "https://doi.org/10.1080/03610918.2016.1235188" @default.
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