Pages that link to "Item:Q276934"
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The following pages link to Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (Q276934):
Displaying 16 items.
- On the tail index inference for heavy-tailed GARCH-type innovations (Q263253) (← links)
- Empirical likelihood inference for Haezendonck-Goovaerts risk measure (Q903683) (← links)
- Empirical likelihood based confidence intervals for copulas (Q958913) (← links)
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness (Q1659142) (← links)
- Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid (Q2203392) (← links)
- Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) (← links)
- MODEL-FREE INFERENCE FOR TAIL RISK MEASURES (Q2786682) (← links)
- SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL (Q2826010) (← links)
- Probability-unbiased Value-at-Risk estimators (Q2869965) (← links)
- Tilting Methods for Assessing the Influence of Components in a Classifier (Q2920282) (← links)
- Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models (Q3077676) (← links)
- ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION (Q5152549) (← links)
- Extending the Limits of Backtesting via the ‘Vanishing <i>p</i>’‐Approach (Q5237535) (← links)
- SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL (Q6078284) (← links)
- A practical multivariate approach to testing volatility spillover (Q6094458) (← links)
- A simulation study on the Markov regime-switching zero-drift GARCH model (Q6148769) (← links)
