Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
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Cites work
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- scientific article; zbMATH DE number 708500 (Why is no real title available?)
- scientific article; zbMATH DE number 854582 (Why is no real title available?)
- Inconsistency of bootstrap: the Grenander estimator
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
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- Least absolute deviations estimation for ARCH and GARCH models
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Cited in
(15)- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- Safe marginal time of crude oil price via escape problem of econophysics
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
- Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
- Adjusting forecast intervals in arch‐m models
- Risk-parameter estimation in volatility models
- Backtesting portfolio value‐at‐risk with estimated portfolio weights
- Characterizations of multinormality and corresponding tests of fit, including for GARCH models
- Computational Science - ICCS 2004
- Prediction intervals in the beta autoregressive moving average model
- SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL
- A residual bootstrap for conditional value-at-risk
- Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
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