ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES (Q3632423): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
+Normal rank
@@ Property / cites work @@
+Stationarity of GARCH processes and of some nonnegative time series
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+GARCH processes: structure and estimation
@@ Property / cites work: GARCH processes: structure and estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Limit results for the empirical process of squared residuals in GARCH models.
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+The residual empirical distribution function in GARCH(1,1) and its application in hypothesis testing
+Normal rank
@@ Property / cites work @@
+On bandwidth variation in kernel estimates. A square root law
+Normal rank
@@ Property / cites work @@
+Random means
@@ Property / cites work: Random means / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation Theorems of Mathematical Statistics
@@ Property / cites work: Approximation Theorems of Mathematical Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Inference in Arch and Garch Models with Heavy-Tailed Errors
+Normal rank
@@ Property / cites work @@
+Effect of bias estimation on coverage accuracy of bootstrap confidence intervals for a probability density
+Normal rank
@@ Property / cites work @@
+A New Proof of the Bahadur Representation of Quantiles and an Application
+Normal rank
@@ Property / cites work @@
+MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
+Normal rank
@@ Property / cites work @@
+Q4863755
@@ Property / cites work: Q4863755 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
+Normal rank
@@ Property / cites work @@
+Least absolute deviations estimation for ARCH and GARCH models
+Normal rank
@@ Property / cites work @@
+Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
+Normal rank
@@ Property / cites work @@
+Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
+Normal rank
@@ Property / cites work @@
+Fitting an error distribution in some heteroscedastic time series models
+Normal rank