Time-consistency of risk measures with GARCH volatilities and their estimation (Q254504)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Time-consistency of risk measures with GARCH volatilities and their estimation |
scientific article; zbMATH DE number 6551885
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time-consistency of risk measures with GARCH volatilities and their estimation |
scientific article; zbMATH DE number 6551885 |
Statements
Time-consistency of risk measures with GARCH volatilities and their estimation (English)
0 references
8 March 2016
0 references
dynamic risk measure
0 references
time-consistency
0 references
GARCH volatilities
0 references
extreme value theory
0 references
value-at-risk
0 references
average value-at-risk
0 references
expected shortfall
0 references
generalized Pareto distribution
0 references
aggregate returns
0 references
