Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness (Q1659142)
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scientific article; zbMATH DE number 6918350
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| English | Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness |
scientific article; zbMATH DE number 6918350 |
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Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness (English)
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15 August 2018
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value-at-risk
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ARMA-GARCH
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quasi-maximum likelihood
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subsample bootstrap
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0.92055357
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0.8902836
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0.8660775
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0.86264753
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0.8597456
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0.85962635
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