Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach
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DOI: 10.1080/14697688.2019.1580762
Abstract: The g-and-h distribution is able to handle well the complex behavior of loss data and applied to operational losses suggests that indirect inference estimators of VaR outperform quantile-based estimators read more here.
Keywords: value risk; indirect inference; estimating value; risk distribution ... See more keywords