Risk Measure Inference

DOI10.1080/07350015.2015.1127815MaRDI QIDQ6616627zbMATH OpenFDO

Authors Christophe Hurlin, Sébastien Laurent, Rogier Quaedvlieg, Stephan Smeekes

Publication date 9 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 720689 (Why is no real title available?)
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• Bootstrap prediction for returns and volatilities in GARCH models
• Consistent ranking of volatility models
• Control of the false discovery rate under dependence using the bootstrap and subsampling
• Estimation-adjusted VaR
• FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES
• Handbook of economic forecasting. Volume 1
• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• Risk-parameter estimation in volatility models
• Stepwise Multiple Testing as Formalized Data Snooping
• The Model Confidence Set
• The bootstrap does not always work for heteroscedastic models
• Volatility forecast comparison using imperfect volatility proxies

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