Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified (Q3466886)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified |
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Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified (English)
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25 January 2016
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APARCH
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conditional VaR
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distortion risk measures
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GARCH
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generalized quasi-maximum likelihood estimation
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instrumental density
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