The improved value-at-risk for heteroscedastic processes and their coverage probability

DOI10.1155/2020/7638517zbMath1440.62366OpenAlexW3012196944MaRDI QIDQ2183904

Khreshna Syuhada

Publication date: 27 May 2020

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/7638517

zbMATH Keywords

financial risk managementvalue-at-risk (VaR)volatility processautoregressive conditional heteroscedastic (ARCH) model

Mathematics Subject Classification ID

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

Related Items (1)

The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data

Cites Work

• The asymptotic efficiency of improved prediction intervals
• Prediction and asymptotics
• Improved Prediction Limits For AR(p) and ARCH(p) Processes
• Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations
• Theory & Methods: An Efficient Simulation Method for the Computation of a Class of Conditional Expectations
• Improved prediction intervals for stochastic process models

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