Risk Measure Inference
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Publication:6616627
DOI10.1080/07350015.2015.1127815zbMATH Open1546.62972MaRDI QIDQ6616627FDOQ6616627
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)
Cites Work
- The Model Confidence Set
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- A Reality Check for Data Snooping
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- Handbook of economic forecasting. Volume 1
- Volatility forecast comparison using imperfect volatility proxies
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
- FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES
- Consistent ranking of volatility models
- A goodness-of-fit test for ARCH(\(\infty\)) models
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- Bootstrap prediction for returns and volatilities in GARCH models
- Backtesting Parametric Value-at-Risk With Estimation Risk
- Risk-parameter estimation in volatility models
- The bootstrap does not always work for heteroscedastic models
- Accurate value-at-risk forecasting based on the normal-GARCH model
- Estimation-adjusted VaR
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