Value-at-Risk: a multivariate switching regime approach

C-Tier
Journal: Journal of Empirical Finance
Year: 2000
Volume: 7
Issue: 5
Pages: 531-554

Authors (2)

Billio, Monica (Università Ca' Foscari Venezia) Pelizzon, Loriana (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

View Full Article View on IDEAS/RePEc

Technical Details

RePEc Handle
repec:eee:empfin:v:7:y:2000:i:5:p:531-554
Journal Field
Finance
Author Count
2
Added to Database
2026-02-17