Risk-parameter estimation in volatility models
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Publication:473360
DOI10.1016/j.jeconom.2014.06.019zbMath1331.91138OpenAlexW2050030115MaRDI QIDQ473360
Christian Francq, Jean-Michel Zakoian
Publication date: 24 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/41713/1/MPRA_paper_41713.pdf
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Related Items (15)
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models ⋮ Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified ⋮ Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications ⋮ QUANTILE DOUBLE AUTOREGRESSION ⋮ Virtual historical simulation for estimating the conditional VaR of large portfolios ⋮ GARCH density and functional forecasts ⋮ Loss function-based change point detection in risk measures ⋮ 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 ⋮ Quantile Estimation of Regression Models with GARCH-X Errors ⋮ Dynamic semiparametric models for expected shortfall (and value-at-risk) ⋮ A justification of conditional confidence intervals ⋮ Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models ⋮ Hybrid quantile estimation for asymmetric power GARCH models
Cites Work
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- Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model
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- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Quantile Autoregression
- Threshold heteroskedastic models
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