Pages that link to "Item:Q1010573"

The following pages link to Accurate value-at-risk forecasting based on the normal-GARCH model (Q1010573):

Displaying 13 items.

• Saddlepoint approximations for the doubly noncentral \(t\) distribution (Q1019921) (← links)
• A bootstrap approach to test the conditional symmetry in time series models (Q1019981) (← links)
• Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models (Q1023483) (← links)
• The uncertainty of conditional returns, volatilities and correlations in DCC models (Q1659110) (← links)
• Model selection based on value-at-risk backtesting approach for GARCH-type models (Q2190298) (← links)
• Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model (Q4914961) (← links)
• Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk (Q4960660) (← links)
• A new approach to Value-at-Risk: GARCH-TSLx model with inference (Q5083929) (← links)
• Robust bootstrap forecast densities for GARCH returns and volatilities (Q5106994) (← links)
• Tests for Volatility Shifts in Garch Against Long‐Range Dependence (Q5177968) (← links)
• ESTIMATION-ADJUSTED VAR (Q5403109) (← links)
• A residual bootstrap for conditional value-at-risk (Q6193032) (← links)
• Risk Measure Inference (Q6616627) (← links)