CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features

DOI10.1093/JRSSSC/QLAD081MaRDI QIDQ6576188zbMATH OpenFDO

Authors Gelly Mitrodima, Jaideep Oberoi

Publication date 22 July 2024

Published in Journal of the Royal Statistical Society. Series C. Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/JRSSSC/QLAD081

zbMATH Keywords

CAViaR-type modelscomponent modelsExpected Shortfalllong range dependenceValue-at-Risk

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

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