Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
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Cites work
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- Confidence regions for high quantiles of a heavy tailed distribution
- Data Tilting for Time Series
- Empirical likelihood
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- Empirical likelihood ratio confidence intervals for a single functional
- Empirical likelihood ratio confidence regions
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- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Least absolute deviations estimation for ARCH and GARCH models
- Methodology and Algorithms of Empirical Likelihood
- On optimising the estimation of high quantiles of a probability distribution
- Stable Paretian models in finance
Cited in
(35)- 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
- Model selection based on value-at-risk backtesting approach for GARCH-type models
- Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
- Test for tail index constancy of GARCH innovations based on conditional volatility
- On the tail index inference for heavy-tailed GARCH-type innovations
- Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression
- Model-free inference for tail risk measures
- Spline estimation of a semiparametric GARCH model
- Probability-unbiased Value-at-Risk estimators
- Tilting methods for assessing the influence of components in a classifier
- Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
- Quantile regression estimation for VaR of P-GARCH processes
- Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
- ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
- Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model
- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
- A new approach to Value-at-Risk: GARCH-TSLx model with inference
- ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
- Extending the limits of backtesting via the `vanishing p'-approach
- Nonparametric inference for conditional quantiles of time series
- Estimation-adjusted VaR
- Where does the tail begin? An approach based on scoring rules
- SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL
- A practical multivariate approach to testing volatility spillover
- A simulation study on the Markov regime-switching zero-drift GARCH model
- Extremal Dependence-Based Specification Testing of Time Series
- Risk Measure Inference
- 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
- Unified estimation of conditional distortion risk measures and expectiles in APARCH-X models
- Empirical likelihood inference for Haezendonck-Goovaerts risk measure
- Empirical likelihood based confidence intervals for copulas
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