Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression (Q2667134)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression |
scientific article |
Statements
Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression (English)
0 references
24 November 2021
0 references
empirical likelihood
0 references
asymmetric least squares
0 references
tail-related risks
0 references
GARCH models
0 references
0 references
0 references
0 references
0 references
