Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models (Q3077676): Difference between revisions

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+Strong approximation of the empirical process of GARCH sequences
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+Limit results for the empirical process of squared residuals in GARCH models.
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+Generalized autoregressive conditional heteroscedasticity
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+EMPIRICAL LIKELIHOOD FOR GARCH MODELS
@@ Property / cites work: EMPIRICAL LIKELIHOOD FOR GARCH MODELS / rank @@
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+Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
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+Smoothed empirical likelihood confidence intervals for quantiles
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+ARCH models and financial applications
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+Inference in Arch and Garch Models with Heavy-Tailed Errors
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+LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(<i>p</i>)  SQUARED RESIDUAL CORRELATIONS
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+Empirical process of the squared residuals of an ARCH sequence
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+Q5706744
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+Empirical likelihood ratio confidence intervals for a single functional
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+Empirical likelihood ratio confidence regions
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