ESTIMATION-ADJUSTED VAR

DOI10.1017/S0266466612000680zbMath1283.91087MaRDI QIDQ5403109

Christian Gouriéroux, Jean-Michel Zakoian

Publication date: 25 March 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466612000680

Mathematics Subject Classification ID

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

91G70: Statistical methods; risk measures

91B70: Stochastic models in economics

91B82: Statistical methods; economic indices and measures

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Cites Work

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• NOTES ON BIAS IN ESTIMATION