Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...

This is a preview. Log in through your library . Abstract The scaled deviance of an inverse Gaussian sample of size n can be expressed as a sum of (n - 1) independent chi-squared variates, a result ...

It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...