- 4
- Mathematical Finance, 9(3), 203-228.

(*check this in PDF content*) - 5
- Basel Committee on Banking Supervision. 1996a. Amendment to the Capital Accord to incorporate market risks. Bank for International Settlements, Basel.

(*check this in PDF content*) - 6
- Basel Committee on Banking Supervision. 1996b. Supervisory framework for the use of backtesting in conjunction with the internal models approach to market risk capital requirements. Publication No. 22, Bank for International Settlements, Basel.

(*check this in PDF content*) - 9
- GED stochastic volatility model.Studies in Nonlinear Dynamics&Econometrics, 8(2).

(*check this in PDF content*) - 10
- Chai, J., Guo, Ju-e., Gong L. and Wang S. Y. (2011). Estimating crude oil price ’Value at Risk’ using the Bayesian-SV-SGT approach.Systems Engineering-Theory&Practice, 31(1).

(*check this in PDF content*) - 14
- Chan, J. C. and Grant, A. L. (2016b). On the observed-data deviance information criterion for volatility modeling.Journal of Financial Econometrics, 14(4), 772-802.

(*check this in PDF content*) - 16
- Chan,J. C. and Hsiao,C. Y.-L. (2013).Estimation of Stochastic Solatility

(*check this in PDF content*) - 17
- ModelswithHeavyTailsandSerialDependence.[Online].Availableat https://papers.ssrn.com/sol3/papers.cfm?abstractid=2359838[Accessed27October 2017].

(*check this in PDF content*) - 23
- Fan, Y., Zhang, Y. -J., Tsai, H. -T. and Wei, Y. -M. (2008). Estimating Value at Riskof crude oil price and its spillover effect using the GED-GARCH approach.Energy Economics, 30(6), 3156-3171.

(*check this in PDF content*) - 25
- Hung, J.-C., Lee, M.-C. and Liu, H.-C. (2008). Estimation of value-at-risk for energy commodities via fat-tailed GARCH models.Energy Economics, 30(3), 1173-1191.

(*check this in PDF content*) - 26
- Koopman, S. J. and Hol Uspensky, E. (2002). The stochastic volatility in mean model: empirical evidence from international stock markets.Journal of Applied Econometrics, 17(6), 667-689.

(*check this in PDF content*) - 30
- The Journal of Derivatives, 3(2), 73-84.

(*check this in PDF content*) - 44
- Auckland,Economics Working Paper, (229).

(*check this in PDF content*) - 45
- Zhao, S., Lu, Q., Han, L., Liu, Y. and Hu, F. (2): ∫∞ 0 √ 1 +κ4 1 +κ2 1 σt I(λ > √ 1 +κ4(εt−θ) σt )exp(−λ)dλ − √ 1 +κ4 1 +κ2 1 σt ∫∞ √ 1+κ4(εt−θ) σt exp(−λ)d(−λ) = √ 1 +κ4 1 +κ2 1 σt exp( − √ 1 +κ4(εt−θ) σt ) (29) = Since √ 1+κ4(εt−θ) σt≥0, thus we haveεt≥0, which follows: f+(εt|κ,θ,σt) = √ 1 +κ4 1 +κ2 1 σt exp( − √ 1 +κ4(εt−θ)

(*check this in PDF content*)