Risk-parameter estimation in volatility models (Q473360)
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scientific article; zbMATH DE number 6372132
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| English | Risk-parameter estimation in volatility models |
scientific article; zbMATH DE number 6372132 |
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Risk-parameter estimation in volatility models (English)
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24 November 2014
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GARCH
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quantile regression
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quasi-maximum likelihood
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risk measures
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value-at-risk
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0.8137838244438171
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0.7951095104217529
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0.781029999256134
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0.7801409959793091
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