Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
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Cites work
- ARCH models and financial applications
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- EMPIRICAL LIKELIHOOD FOR GARCH MODELS
- Empirical likelihood ratio confidence intervals for a single functional
- Empirical likelihood ratio confidence regions
- Empirical process of the squared residuals of an ARCH sequence
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 1820665 (Why is no real title available?)
- scientific article; zbMATH DE number 1850465 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (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
- Large sample distribution of weighted sums of ARCH(p) squared residual correlations
- Limit results for the empirical process of squared residuals in GARCH models.
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Smoothed empirical likelihood confidence intervals for quantiles
- Statistical estimation errors of VaR under ARCH returns
- Strong approximation of the empirical process of GARCH sequences
- Weak and strong uniform consistency of the kernel estimate of a density and its derivatives
Cited in
(13)- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
- Interval estimation of the tail index of a GARCH(1,1) model
- Existence and globally exponential stability of equilibrium for fuzzy BAM neural networks with distributed delays and impulse
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- Interval estimation for the Sharpe ratio when returns are not i.i.d. with special emphasis on the GARCH(1,1) process with symmetric innovations
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
- Global robust exponential synchronization of BAM recurrent FNNs with infinite distributed delays and diffusion terms on time scales
- scientific article; zbMATH DE number 5630239 (Why is no real title available?)
- Empirical likelihood for break detection in time series
- Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications
- Distributed estimation with empirical likelihood
- Existence and exponential stability of an equilibrium point for fuzzy BAM neural networks with time-varying delays in leakage terms on time scales
- Almost periodic solutions for neutral delay Hopfield neural networks with time-varying delays in the leakage term on time scales
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