scientific article; zbMATH DE number 2042816
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Publication:4450671
zbMath1034.62107MaRDI QIDQ4450671
Publication date: 15 February 2004
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Monte Carlo methodskurtosisskewnessvolatilityaggregate returnssquare root of time ruleheteroskedastic models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Economic time series analysis (91B84)
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Dynamic seasonality in time series ⋮ Bayesian analysis of tail asymmetry based on a threshold extreme value model ⋮ Statistical inference for conditional quantiles in nonlinear time series models ⋮ Semi-parametric expected shortfall forecasting in financial markets ⋮ Quasi-maximum likelihood estimation of GARCH models in the presence of missing values ⋮ Nonparametric estimation of value-at-risk ⋮ Effects of intervaling on high-frequency realized higher-order moments ⋮ An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR ⋮ Semiparametric estimation of Value at Risk ⋮ VaR Prediction under Long Memory in Volatility ⋮ Approximation methods for multiple period Value at Risk and Expected Shortfall prediction ⋮ Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
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