Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models

DOI10.1239/jap/1118777180zbMath1084.62087OpenAlexW1995750147MaRDI QIDQ5697593

Dominique Guégan, R. G. M. Brummelhuis

Publication date: 18 October 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1118777180

zbMATH Keywords

asymptoticslarge deviation probabilityquantile estimationvalue at riskconditional probability density functionLaplace integralgeneralized autoregressive heteroskedastic process

Mathematics Subject Classification ID

Related Items (3)

Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions ⋮ Serial dependence in ARCH-models as measured by tail dependence coefficients ⋮ Approximation methods for multiple period Value at Risk and Expected Shortfall prediction

Cites Work

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Coherent Measures of Risk
• Temporal Aggregation of Garch Processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Tail behaviour of the stationary density of general non-linear autoregressive processes of order 1
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