Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness

DOI10.1016/j.csda.2014.08.011zbMath1466.62196OpenAlexW3125817426MaRDI QIDQ1659142

Laura Spierdijk

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.08.011

zbMATH Keywords

quasi-maximum likelihoodvalue-at-riskARMA-GARCHsubsample bootstrap

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric tolerance and confidence regions (62G15)

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Uses Software

• CAViaR
• bootstrap
• Dowd

Cites Work

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