Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data (Q5881685)
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scientific article; zbMATH DE number 7662302
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| English | Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data |
scientific article; zbMATH DE number 7662302 |
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Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data (English)
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13 March 2023
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tempered stable distribution
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ARMA-GARCH model
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average value-at-risk (AVaR)
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high-frequency
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0.7845730185508728
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0.7571132779121399
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0.7510921359062195
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0.7500238418579102
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0.7437928915023804
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