Computational Science - ICCS 2004

DOI10.1007/B98005MaRDI QIDQ5712718zbMATH OpenOpenAlexFDO

Authors Gilles Teyssière, Aonan Zhang, Piotr Kokoszka

Publication date 23 December 2005

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/b98005

Mathematics Subject Classification ID

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(3)

• Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
• Properties of the Autocorrelation Function of Squared Observations for Second-order Garch Processes Under Two Sets of Parameter Constraints
• Strong approximation for the sums of squares of augmented GARCH sequences

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