Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (Q276934): Difference between revisions
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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| Property / zbMATH DE Number: 6577369 / rank | |||
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data tilting | |||
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GARCH models | |||
| Property / zbMATH Keywords: GARCH models / rank | |||
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heavy tail | |||
| Property / zbMATH Keywords: heavy tail / rank | |||
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tail empirical process | |||
| Property / zbMATH Keywords: tail empirical process / rank | |||
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value-at-risk | |||
| Property / zbMATH Keywords: value-at-risk / rank | |||
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Revision as of 16:43, 27 June 2023
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)
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4 May 2016
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data tilting
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GARCH models
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heavy tail
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tail empirical process
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value-at-risk
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