Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models

DOI10.1239/jap/1118777180zbMath1084.62087MaRDI QIDQ5697593

Dominique Guégan, R. G. M. Brummelhuis

Publication date: 18 October 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1118777180

zbMATH Keywords

asymptotics; large deviation probability; quantile estimation; value at risk; conditional probability density function; Laplace integral; generalized autoregressive heteroskedastic process

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

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

62E17: Approximations to statistical distributions (nonasymptotic)

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