Statistical estimation errors of VaR under ARCH returns (Q947259)
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scientific article; zbMATH DE number 5348347
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Statistical estimation errors of VaR under ARCH returns |
scientific article; zbMATH DE number 5348347 |
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Statistical estimation errors of VaR under ARCH returns (English)
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29 September 2008
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value-at-risk
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ARCH model
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residual empirical process
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functional delta method
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discretized estimator
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0.84582734
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0.84511703
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0.84322774
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0.83934927
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