Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error (Q6654881)
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scientific article; zbMATH DE number 7960043
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error |
scientific article; zbMATH DE number 7960043 |
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Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error (English)
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20 December 2024
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extreme expectiles
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extreme value theory
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GARCH models
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tail risk
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\(\varphi\)-mixing sequences
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