Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
DOI10.1080/14697688.2016.1184303zbMath1402.91903OpenAlexW2185762713MaRDI QIDQ4555065
Benjamin Beckers, Moritz Seidel, Helmut Herwartz
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2016.1184303
GARCHforecastingvalue-at-riskexpected shortfallnon-parametric estimationcopula distributionsnon-Gaussian innovations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05)
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