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

DOI10.1080/00949655.2021.2005062MaRDI QIDQ5083339zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(1)

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

Describes a project that uses

Uses Software

• CAViaR

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