Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models
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Publication:5697593
DOI10.1239/jap/1118777180zbMath1084.62087OpenAlexW1995750147MaRDI 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
asymptoticslarge deviation probabilityquantile estimationvalue at riskconditional probability density functionLaplace integralgeneralized autoregressive heteroskedastic process
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Cites Work
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Coherent Measures of Risk
- Temporal Aggregation of Garch Processes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Tail behaviour of the stationary density of general non-linear autoregressive processes of order 1
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