Pages that link to "Item:Q4914961"
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The following pages link to Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model (Q4914961):
Displaying 10 items.
- On accuracy of long-term risk forecasts by normal variance-mean mixtures decomposition algorithm (Q341733) (← links)
- Accurate value-at-risk forecasting based on the normal-GARCH model (Q1010573) (← links)
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness (Q1659142) (← links)
- Model selection based on value-at-risk backtesting approach for GARCH-type models (Q2190298) (← links)
- Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) (← links)
- An approach to VaR for capital markets with Gaussian mixture (Q2572749) (← links)
- Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations (Q5083339) (← links)
- A new approach to Value-at-Risk: GARCH-TSLx model with inference (Q5083929) (← links)
- On a control chart for the Gini index with simulations (Q5085921) (← links)
- On entropy-based goodness-of-fit test for asymmetric Student-<i>t</i> and exponential power distributions (Q5106768) (← links)
