Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations

DOI10.1080/00949655.2021.2005062OpenAlexW3215214370MaRDI QIDQ5083339

Minjo Kim, Sangyeol Lee

Publication date: 22 June 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2021.2005062

zbMATH Keywords

VaRCAViaRESASTDAEPDconditionally heteroscedastic location-scale time series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics (62-XX)

Related Items (1)

Test for tail index constancy of GARCH innovations based on conditional volatility

Uses Software

• CAViaR

Cites Work

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