ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES

DOI10.1017/S0266466608080559zbMath1283.91086MaRDI QIDQ3632423

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Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (7)

Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness ⋮ SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL ⋮ A practical multivariate approach to testing volatility spillover ⋮ A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures ⋮ A residual bootstrap for conditional value-at-risk ⋮ Backtesting portfolio value‐at‐risk with estimated portfolio weights ⋮ Inference for conditional value-at-risk of a predictive regression

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