Risk-parameter estimation in volatility models
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Publication:473360
DOI10.1016/J.JECONOM.2014.06.019zbMATH Open1331.91138OpenAlexW2050030115MaRDI QIDQ473360FDOQ473360
Authors: C. Francq, Jean-Michel Zakoïan 
Publication date: 24 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/41713/1/MPRA_paper_41713.pdf
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Cites Work
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- Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
Cited In (23)
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- QUANTILE DOUBLE AUTOREGRESSION
- A justification of conditional confidence intervals
- Backtesting Parametric Value-at-Risk With Estimation Risk
- Hybrid quantile estimation for asymmetric power GARCH models
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
- Volatility, risk modeling and utility
- Risk bounds for factor models
- Risk Measure Inference
- Quantile estimation of regression models with GARCH-X errors
- A residual bootstrap for conditional value-at-risk
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- Modeling Variance Risk Premium
- Non-parametric inference on risk measures for integrated returns
- On conditional risk estimation considering model risk
- Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
- GARCH density and functional forecasts
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
- Loss function-based change point detection in risk measures
- Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications
- Backtesting portfolio value‐at‐risk with estimated portfolio weights
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