Methods for computing numerical standard errors: review and application to value-at-risk estimation

DOI10.1515/jtse-2017-0011zbMath1499.62294OpenAlexW3123012008MaRDI QIDQ1669699

Lennart F. Hoogerheide, David Ardia, Keven Bluteau

Publication date: 4 September 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/ws/files/120178784/Methods_for_Computing_Numerical_Standard_Errors_Review_and_Application_to_ValueAtRisk_Estimation.pdf

zbMATH Keywords

bootstrapMonte CarloGARCHspectral densityvalue-at-riskMarkov chain Monte Carlo (MCMC)HAC kernelnumerical standard error (NSE)Welch

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Statistical methods; risk measures (91G70) Nonparametric statistical resampling methods (62G09)

Related Items (1)

nse

Uses Software

• R
• ramcmc
• MSGARCH

Cites Work

• Unnamed Item
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