Accurate value-at-risk forecasting based on the normal-GARCH model
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Publication:1010573
DOI10.1016/j.csda.2006.09.017zbMath1157.62504OpenAlexW2087210695MaRDI QIDQ1010573
Stefan Mittnik, Christoph Hartz, Marc S. Paolella
Publication date: 6 April 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2006.09.017
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Related Items (9)
The uncertainty of conditional returns, volatilities and correlations in DCC models ⋮ A residual bootstrap for conditional value-at-risk ⋮ ESTIMATION-ADJUSTED VAR ⋮ Tests for Volatility Shifts in Garch Against Long‐Range Dependence ⋮ Robust bootstrap forecast densities for GARCH returns and volatilities ⋮ Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk ⋮ Saddlepoint approximations for the doubly noncentral \(t\) distribution ⋮ A bootstrap approach to test the conditional symmetry in time series models ⋮ Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
Uses Software
Cites Work
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