GARCH density and functional forecasts

DOI10.1016/j.jeconom.2022.04.010arXiv1812.08409OpenAlexW3133966960MaRDI QIDQ6108262

Alessandra Luati, Paolo Paruolo, Karim M. Abadir

Publication date: 29 June 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.08409

zbMATH Keywords

functionalsexpected shortfallvalue at riskprediction densityGJR GARCH(1, 1)

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

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