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 ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...

Charlene Rhinehart is a CPA , CFE, chair of an Illinois CPA Society committee, and has a degree in accounting and finance from DePaul University. Vikki Velasquez is a researcher and writer who has ...

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 ...