Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data

DOI10.1515/snde-2012-0033zbMath1506.62397OpenAlexW209822608MaRDI QIDQ5881685

Unnamed Author, Unnamed Author, Unnamed Author, Frank J. Fabozzi, Svetlozar T. Rachev

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0033

zbMATH Keywords

ARMA-GARCH modeltempered stable distributionhigh-frequencyaverage value-at-risk (AVaR)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
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