Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations

DOI10.1080/00949655.2021.2005062OpenAlexW3215214370MaRDI QIDQ5083339FDOQ5083339

Authors: Minjo Kim, Sangyeol Lee 

Publication date: 22 June 2022

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

Full work available at URL: https://doi.org/10.1080/00949655.2021.2005062

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zbMATH Keywords

VaRCAViaRESASTDAEPDconditionally heteroscedastic location-scale time series models

Mathematics Subject Classification ID

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

Cites Work

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• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Autoregressive Conditional Density Estimation
• Threshold heteroskedastic models
• Quantile regression estimator for GARCH models
• Stability of nonlinear AR-GARCH models
• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
• Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model
• Modified residual CUSUM test for location-scale time series models with heteroscedasticity
• Quantile regression for location-scale time series models with conditional heteroscedasticity

Cited In (1)

• Test for tail index constancy of GARCH innovations based on conditional volatility

Uses Software

• CAViaR

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