Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
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Publication:3615082
DOI10.1080/07474930802387985zbMath1161.62072OpenAlexW2081252940MaRDI QIDQ3615082
Jonathan A. Tawn, Fabrizio Laurini
Publication date: 17 March 2009
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930802387985
regular variationvalue-at-riskgeneralized Pareto distributionextremal dependencedeclusteringexpected shortfalls
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)
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