Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness (Q1659142): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 04:28, 1 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness |
scientific article |
Statements
Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness (English)
0 references
15 August 2018
0 references
value-at-risk
0 references
ARMA-GARCH
0 references
quasi-maximum likelihood
0 references
subsample bootstrap
0 references
