ESTIMATION-ADJUSTED VAR
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Publication:5403109
DOI10.1017/S0266466612000680zbMath1283.91087OpenAlexW2169251735MaRDI QIDQ5403109
Christian Gouriéroux, Jean-Michel Zakoian
Publication date: 25 March 2014
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466612000680
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Cites Work
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
- Interval forecasts and parameter uncertainty
- Accurate value-at-risk forecasting based on the normal-GARCH model
- Exact tests in single equation autoregressive distributed lag models
- GARCH processes: structure and estimation
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- The efficiency of the estimators of the parameters in GARCH processes.
- VaR is subject to a significant positive bias
- Backtesting Parametric Value-at-Risk With Estimation Risk
- NOTES ON BIAS IN ESTIMATION
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