The impact of stationarity assessment on studies of volatility and value-at-risk.

DOI10.1016/S0895-7177(01)00128-5zbMATH Open1090.91539OpenAlexW2156213427MaRDI QIDQ1600541FDOQ1600541

R. Smith

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(01)00128-5

zbMATH Keywords

Test of stationarityValue at risk

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Time series: theory and methods
• ARCH modeling in finance. A review of the theory and empirical evidence
• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• Estimation of the Fourier coefficient functions and their spectral densities for \(\phi\)-mixing almost periodically correlated processes
• Testing for covariance stationarity in stock market data
• Testing stationarity for stock market data
• Unconditional and conditional distributional models for the Nikkei index
• Histogram maximum likelihood estimator in the multiplicative intensity model
• Asymptotic normality of the spectral density estimators for almost periodically correlated stochastic processes
• Functional limit theory for the spectral covariance estimator
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Cited In (1)

• An approach to VaR for capital markets with Gaussian mixture

Uses Software

• R
• RiskMetrics

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