Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
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Cites work
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Cited in
(8)- Higher-order representation of Karamata theorem
- Risk Analysis via Generalized Pareto Distributions
- Markov Switching Garch Models: Higher Order Moments, Kurtosis Measures, and Volatility Evaluation in Recessions and Pandemic
- When prices spike: identifying excessive volatility in fertilizer markets
- The estimation risk in extreme systemic risk forecasts
- Extreme conditional tail risk inference in ARMA-GARCH models
- Emulated order identification for models of big time series data
- Unified estimation of conditional distortion risk measures and expectiles in APARCH-X models
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