ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
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Cites work
- A New Proof of the Bahadur Representation of Quantiles and an Application
- Approximation Theorems of Mathematical Statistics
- Coherent measures of risk
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Effect of bias estimation on coverage accuracy of bootstrap confidence intervals for a probability density
- Fitting an error distribution in some heteroscedastic time series models
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 837911 (Why is no real title available?)
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
- Least absolute deviations estimation for ARCH and GARCH models
- Limit results for the empirical process of squared residuals in GARCH models.
- MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- On bandwidth variation in kernel estimates. A square root law
- Random means
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Stationarity of GARCH processes and of some nonnegative time series
- The residual empirical distribution function in GARCH(1,1) and its application in hypothesis testing
Cited in
(27)- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
- Inference for conditional value-at-risk of a predictive regression
- Estimating value-at-risk and expected shortfall using the intraday low and range data
- A conditional-SGT-VaR approach with alternative GARCH models
- Time-consistency of risk measures with GARCH volatilities and their estimation
- Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression
- Artifactual unit root behavior of value at risk (VaR)
- Value-at-risk and expected shortfall relationship
- VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
- Risk-parameter estimation in volatility models
- GARCH-UGH: a bias-reduced approach for dynamic extreme value-at-risk estimation in financial time series
- Backtesting portfolio value‐at‐risk with estimated portfolio weights
- Study on dynamic risk measurement based on GJR and EVT
- Estimation-adjusted VaR
- Conditional VAR and expected shortfall: a new functional approach
- SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL
- A practical multivariate approach to testing volatility spillover
- ES under sublinear expectation and related experiment
- A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
- A residual bootstrap for conditional value-at-risk
- Risk measurement by G-expected shortfall
- Powerful Backtests for Historical Simulation Expected Shortfall Models
- Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
- The estimation risk in extreme systemic risk forecasts
- Extreme conditional tail risk inference in ARMA-GARCH models
- Semi-parametric financial risk forecasting incorporating multiple realized measures
- Statistical estimation errors of VaR under ARCH returns
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