Pages that link to "Item:Q1659142"
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The following pages link to Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness (Q1659142):
Displaying 9 items.
- Risk-parameter estimation in volatility models (Q473360) (← links)
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252) (← links)
- Safe marginal time of crude oil price via escape problem of econophysics (Q2120432) (← links)
- Virtual historical simulation for estimating the conditional VaR of large portfolios (Q2190229) (← links)
- A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function (Q2273163) (← links)
- Backtesting portfolio value‐at‐risk with estimated portfolio weights (Q5135314) (← links)
- CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS (Q5384843) (← links)
- SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL (Q6078284) (← links)
- A residual bootstrap for conditional value-at-risk (Q6193032) (← links)
