Methods for computing numerical standard errors: review and application to value-at-risk estimation (Q1669699)
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scientific article; zbMATH DE number 6931519
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| English | Methods for computing numerical standard errors: review and application to value-at-risk estimation |
scientific article; zbMATH DE number 6931519 |
Statements
Methods for computing numerical standard errors: review and application to value-at-risk estimation (English)
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4 September 2018
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bootstrap
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GARCH
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HAC kernel
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numerical standard error (NSE)
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Monte Carlo
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Markov chain Monte Carlo (MCMC)
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spectral density
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value-at-risk
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Welch
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0.7253267765045166
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0.7124627828598022
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0.7111420035362244
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0.7091780304908752
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