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GARCH density and functional forecasts - MaRDI portal

GARCH density and functional forecasts (Q6108262)

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scientific article; zbMATH DE number 7704461
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English
GARCH density and functional forecasts
scientific article; zbMATH DE number 7704461

    Statements

    title
    GARCH density and functional forecasts (English)
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    author
    Karim M. Abadir
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    Alessandra Luati
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    Paolo Paruolo
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    publication date
    29 June 2023
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    zbMATH Keywords
    GJR GARCH(1, 1)
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    prediction density
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    functionals
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    value at risk
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    expected shortfall
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    Identifiers

    arXiv ID
    1812.08409
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    zbMATH DE Number
    7704461
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    OpenAlex ID
    W3133966960
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