Tail risk monotonicity in GARCH(1,1) models (Q6644186)
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scientific article; zbMATH DE number 7950063
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail risk monotonicity in GARCH(1,1) models |
scientific article; zbMATH DE number 7950063 |
Statements
Tail risk monotonicity in GARCH(1,1) models (English)
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27 November 2024
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GARCH
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stochastic orders
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tail asymptotics
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temporal aggregation
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Pareto tail
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