Statistical estimation errors of VaR under ARCH returns (Q947259): Difference between revisions
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Latest revision as of 09:18, 10 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Statistical estimation errors of VaR under ARCH returns |
scientific article |
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Statistical estimation errors of VaR under ARCH returns (English)
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29 September 2008
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value-at-risk
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ARCH model
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residual empirical process
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functional delta method
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discretized estimator
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