Risk-parameter estimation in volatility models
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Cites work
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
- Coherent measures of risk
- Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
- Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
- Estimation and Testing Stationarity for Double-Autoregressive Models
- GARCH processes: structure and estimation
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- Least absolute deviation estimation for all-pass time series models
- Least absolute deviation estimation for regression with ARMA errors
- M-estimation for autoregression with infinite variance
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
- Quantile Autoregression
- Quantile regression.
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- The efficiency of the estimators of the parameters in GARCH processes.
- Threshold heteroskedastic models
- Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
Cited in
(23)- Estimation of objective and risk-neutral distributions based on moments of integrated volatility
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- A justification of conditional confidence intervals
- QUANTILE DOUBLE AUTOREGRESSION
- Backtesting Parametric Value-at-Risk With Estimation Risk
- Hybrid quantile estimation for asymmetric power GARCH models
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
- Volatility, risk modeling and utility
- Risk bounds for factor models
- Risk Measure Inference
- Quantile estimation of regression models with GARCH-X errors
- A residual bootstrap for conditional value-at-risk
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- Modeling Variance Risk Premium
- Non-parametric inference on risk measures for integrated returns
- On conditional risk estimation considering model risk
- Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- GARCH density and functional forecasts
- A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
- Loss function-based change point detection in risk measures
- Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications
- Backtesting portfolio value‐at‐risk with estimated portfolio weights
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