Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified

DOI10.1111/jtsa.12136zbMath1335.62130OpenAlexW1891341584MaRDI QIDQ3466886

Fedya Telmoudi, Mohamed El Ghourabi, Christian Francq

Publication date: 25 January 2016

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

Full work available at URL: https://mpra.ub.uni-muenchen.de/51150/1/MPRA_paper_51150.pdf

zbMATH Keywords

GARCHdistortion risk measuresconditional VaRAPARCHgeneralized quasi-maximum likelihood estimationinstrumental density

Mathematics Subject Classification ID

Related Items (3)

Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications ⋮ A new generalized exponentially weighted moving average quantile model and its statistical inference ⋮ Extending the Limits of Backtesting via the ‘Vanishing p’‐Approach

Cites Work

• Risk-parameter estimation in volatility models
• Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• M-estimation for autoregression with infinite variance
• GARCH processes: structure and estimation
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Generalized autoregressive conditional heteroscedasticity
• The efficiency of the estimators of the parameters in GARCH processes.
• A synthesis of risk measures for capital adequacy
• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
• Coherent Measures of Risk
• Backtesting Parametric Value-at-Risk With Estimation Risk
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quantile Autoregression
• Threshold heteroskedastic models
• Maximum Likelihood Estimation of Misspecified Models

This page was built for publication: Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified