Extreme conditional tail risk inference in ARMA-GARCH models (Q6892233)
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scientific article; zbMATH DE number 8129339
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| English | Extreme conditional tail risk inference in ARMA-GARCH models |
scientific article; zbMATH DE number 8129339 |
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Extreme conditional tail risk inference in ARMA-GARCH models (English)
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1 December 2025
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ARMA-GARCH models
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conditional value-at-risk
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conditional expected shortfall
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extreme value theory
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