Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications (Q5082783)
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scientific article; zbMATH DE number 7545725
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| English | Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications |
scientific article; zbMATH DE number 7545725 |
Statements
Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications (English)
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21 June 2022
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GAS model
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volatility
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value-at-risk
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gQML
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0.8187373280525208
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0.8026562333106995
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0.7851383686065674
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0.7837778925895691
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