Pages that link to "Item:Q3632423"
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The following pages link to ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES (Q3632423):
Displaying 8 items.
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness (Q1659142) (← links)
- Inference for conditional value-at-risk of a predictive regression (Q1996776) (← links)
- Backtesting portfolio value‐at‐risk with estimated portfolio weights (Q5135314) (← links)
- SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL (Q6078284) (← links)
- A practical multivariate approach to testing volatility spillover (Q6094458) (← links)
- A residual bootstrap for conditional value-at-risk (Q6193032) (← links)
- Powerful Backtests for Historical Simulation Expected Shortfall Models (Q6626253) (← links)
- Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models (Q6634893) (← links)
