Time-consistency of risk measures with GARCH volatilities and their estimation

DOI10.1515/STRM-2015-0010zbMath1351.60068arXiv1504.04774OpenAlexW2138078287MaRDI QIDQ254504

Jianing Zhang, Claudia Klüppelberg

Publication date: 8 March 2016

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.04774

zbMATH Keywords

extreme value theoryvalue-at-riskexpected shortfallaggregate returnsaverage value-at-riskdynamic risk measureGARCH volatilitiesgeneralized Pareto distributiontime-consistency

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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