GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series (Q5092644)
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scientific article; zbMATH DE number 7562210
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series |
scientific article; zbMATH DE number 7562210 |
Statements
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series (English)
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22 July 2022
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bias correction
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extreme value theory (EVT)
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financial time series
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GARCH model
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Hill estimator
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value-at-risk (VaR)
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