scientific article; zbMATH DE number 2042816

MaRDI QIDQ4450671zbMATH OpenFDO

Authors Chi-ming Wong, Mike K. P. So

Publication date 15 February 2004

zbMATH Keywords

kurtosisskewnessMonte Carlo methodsvolatilityaggregate returnssquare root of time ruleheteroskedastic models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Recommendations

• The use of GARCH models in VaR estimation
• Incorporating higher moments into value-at-risk forecasting
• Asymmetric multivariate normal mixture GARCH
• Multivariate conditional higher moments volatility modeling
• A detailed comparison of value at risk estimates

Cited in

(18)

• Multivariate conditional higher moments volatility modeling
• Semiparametric estimation of Value at Risk
• Moment based approaches to Value the Risk of contingent claim portfolios
• Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
• Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
• Quasi-maximum likelihood estimation of GARCH models in the presence of missing values
• Effects of intervaling on high-frequency realized higher-order moments
• A new approach to Value-at-Risk: GARCH-TSLx model with inference
• A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models
• VaR prediction under long memory in volatility
• Bayesian analysis of tail asymmetry based on a threshold extreme value model
• Dynamic seasonality in time series
• Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
• Statistical inference for conditional quantiles in nonlinear time series models
• Semi-parametric expected shortfall forecasting in financial markets
• Conditional higher order moments in metal asset returns
• An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
• Nonparametric estimation of value-at-risk

Describes a project that uses

Uses Software

• FinTS

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4450671)