Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model

DOI10.1080/00949651003752320zbMath1432.62306MaRDI QIDQ4914961

Sangyeol Lee, Taewook Lee

Publication date: 16 April 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949651003752320

zbMATH Keywords

value-at-risk; residuals; Gaussian mixture model; ARMA-GARCH model

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

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