Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (Q276934)
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scientific article; zbMATH DE number 6577369
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| English | Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations |
scientific article; zbMATH DE number 6577369 |
Statements
Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (English)
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4 May 2016
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data tilting
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GARCH models
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heavy tail
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tail empirical process
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value-at-risk
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0.8442156314849854
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0.8194745182991028
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0.8077588081359863
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0.8067102432250977
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0.7957812547683716
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