Risk forecasting in (T)GARCH models with uncorrelated dependent innovations (Q4555065)
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scientific article; zbMATH DE number 6981181
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk forecasting in (T)GARCH models with uncorrelated dependent innovations |
scientific article; zbMATH DE number 6981181 |
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Risk forecasting in (T)GARCH models with uncorrelated dependent innovations (English)
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19 November 2018
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GARCH
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value-at-risk
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expected shortfall
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forecasting
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non-Gaussian innovations
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copula distributions
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non-parametric estimation
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