Time-consistency of risk measures with GARCH volatilities and their estimation (Q254504)
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scientific article; zbMATH DE number 6551885
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Time-consistency of risk measures with GARCH volatilities and their estimation |
scientific article; zbMATH DE number 6551885 |
Statements
Time-consistency of risk measures with GARCH volatilities and their estimation (English)
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8 March 2016
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dynamic risk measure
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time-consistency
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GARCH volatilities
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extreme value theory
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value-at-risk
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average value-at-risk
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expected shortfall
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generalized Pareto distribution
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aggregate returns
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0.7939258217811584
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0.7645787000656128
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0.7636628746986389
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0.7594443559646606
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0.7585223913192749
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