Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (Q276934): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.jeconom.2005.08.008 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2120387405 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5560061 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH modeling in finance. A review of the theory and empirical evidence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Empirical likelihood is Bartlett-correctable / rank
 
Normal rank
Property / cites work
 
Property / cites work: A bootstrap-based method to achieve optimality in estimating the extreme-value index / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: On optimising the estimation of high quantiles of a probability distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3762535 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Methodology and Algorithms of Empirical Likelihood / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inference in Arch and Garch Models with Heavy-Tailed Errors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Data Tilting for Time Series / rank
 
Normal rank
Property / cites work
 
Property / cites work: A simple general approach to inference about the tail of a distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2709279 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Empirical likelihood ratio confidence intervals for a single functional / rank
 
Normal rank
Property / cites work
 
Property / cites work: Empirical likelihood ratio confidence regions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2756704 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Confidence regions for high quantiles of a heavy tailed distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Least absolute deviations estimation for ARCH and GARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4226827 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5445942 / rank
 
Normal rank

Revision as of 21:48, 11 July 2024

scientific article
Language Label Description Also known as
English
Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
scientific article

    Statements

    Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    4 May 2016
    0 references
    data tilting
    0 references
    GARCH models
    0 references
    heavy tail
    0 references
    tail empirical process
    0 references
    value-at-risk
    0 references

    Identifiers