Alternative modeling for long term risk

DOI10.1080/14697688.2013.835860zbMath1402.91914OpenAlexW2140352597MaRDI QIDQ5247944

Dominique Guégan, Xin Zhao

Publication date: 27 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00694449/file/12025.pdf

zbMATH Keywords

long memoryextreme value distributionvalue at riskexpect shortfall

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)

Uses Software

• RiskMetrics

Cites Work

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Long memory relationships and the aggregation of dynamic models
• Estimating the dimension of a model
• Generalized autoregressive conditional heteroscedasticity
• Modeling volatility persistence of speculative returns: a new approach
• Coherent Measures of Risk
• Long‐Memory Time Series
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• A new look at the statistical model identification
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