Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
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Publication:1659142
DOI10.1016/J.CSDA.2014.08.011zbMATH Open1466.62196OpenAlexW3125817426MaRDI QIDQ1659142FDOQ1659142
Authors: Laura Spierdijk 
Publication date: 15 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2014.08.011
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Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (15)
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
- Computational Science - ICCS 2004
- Characterizations of multinormality and corresponding tests of fit, including for GARCH models
- Prediction intervals in the beta autoregressive moving average model
- A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function
- A residual bootstrap for conditional value-at-risk
- Adjusting forecast intervals in arch‐m models
- SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL
- Risk-parameter estimation in volatility models
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
- Safe marginal time of crude oil price via escape problem of econophysics
- Backtesting portfolio value‐at‐risk with estimated portfolio weights
- Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
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