Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2018.03.018
@@ Property / DOI: 10.1016/j.jeconom.2018.03.018 / rank @@
-Normal rank
@@ Property / author @@
-Jean-Michel Zakoian
@@ Property / author: Jean-Michel Zakoian / rank @@
-Normal rank
@@ Property / author @@
+Jean-Michel Zakoian
@@ Property / author: Jean-Michel Zakoian / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+bootlib
@@ Property / describes a project that uses: bootlib / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2018.03.018
+Normal rank
@@ Property / OpenAlex ID @@
+W2797568934
@@ Property / OpenAlex ID: W2797568934 / rank @@
+Normal rank
@@ Property / cites work @@
+Handbook of Volatility Models and Their Applications
+Normal rank
@@ Property / cites work @@
+GARCH processes: structure and estimation
@@ Property / cites work: GARCH processes: structure and estimation / rank @@
+Normal rank
@@ Property / cites work @@
+The Lindeberg-Levy Theorem for Martingales
@@ Property / cites work: The Lindeberg-Levy Theorem for Martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Method of moments estimation of GO-GARCH models
@@ Property / cites work: Method of moments estimation of GO-GARCH models / rank @@
+Normal rank
@@ Property / cites work @@
+Q5388117
@@ Property / cites work: Q5388117 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic theory for multivariate GARCH processes.
+Normal rank
@@ Property / cites work @@
+Q4370586
@@ Property / cites work: Q4370586 / rank @@
+Normal rank
@@ Property / cites work @@
+Backtesting Parametric Value-at-Risk With Estimation Risk
+Normal rank
@@ Property / cites work @@
+Tests for conditional ellipticity in multivariate GARCH models
+Normal rank
@@ Property / cites work @@
+QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
+Normal rank
@@ Property / cites work @@
+Risk-parameter estimation in volatility models
@@ Property / cites work: Risk-parameter estimation in volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating Multivariate Volatility Models Equation by Equation
+Normal rank
@@ Property / cites work @@
+ESTIMATION-ADJUSTED VAR
@@ Property / cites work: ESTIMATION-ADJUSTED VAR / rank @@
+Normal rank
@@ Property / cites work @@
+Quantile Autoregression
@@ Property / cites work: Quantile Autoregression / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation and Testing Stationarity for Double-Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate variance targeting in the BEKK-GARCH model
+Normal rank
@@ Property / cites work @@
+Multivariate GARCH Models
@@ Property / cites work: Multivariate GARCH Models / rank @@
+Normal rank
@@ Property / cites work @@
+Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
+Normal rank
@@ Property / cites work @@
+Q2871093
@@ Property / cites work: Q2871093 / rank @@
+Normal rank
@@ Property / cites work @@
+Properties and estimation of asymmetric exponential power distribution
+Normal rank
@@ Property / Wikidata QID @@
+Q130007083
@@ Property / Wikidata QID: Q130007083 / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2018.03.018
@@ Property / DOI: 10.1016/J.JECONOM.2018.03.018 / rank @@
+Normal rank