Singular spectrum analysis for value at risk in stochastic volatility models

  1. Arteche, J.
  2. García-Enríquez, J.
Journal:
Journal of Forecasting

ISSN: 1099-131X 0277-6693

Year of publication: 2022

Volume: 41

Issue: 1

Pages: 3-16

Type: Article

DOI: 10.1002/FOR.2796 GOOGLE SCHOLAR