Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model (Q485704)
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scientific article; zbMATH DE number 6386024
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| English | Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model |
scientific article; zbMATH DE number 6386024 |
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Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model (English)
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14 January 2015
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extreme value theory
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GARCH
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quantile regression
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semiparametric
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value at risk
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0.82505863904953
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0.8165358901023865
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0.8159976005554199
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0.8159976005554199
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0.8029466271400452
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