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

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