Extreme conditional tail risk inference in ARMA-GARCH models

DOI10.1016/J.JEDC.2025.105128MaRDI QIDQ6892233zbMATH OpenFDO

Authors Yaolan Ma, Bo Wei

Publication date 1 December 2025

Published in Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JEDC.2025.105128

zbMATH Keywords

ARMA-GARCH modelsconditional expected shortfallconditional value-at-riskextreme value theory

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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