Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
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Publication:6634893
DOI10.1080/07350015.2017.1401543zbMATH Open1548.62572MaRDI QIDQ6634893
Publication date: 8 November 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
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Related Items (3)
Higher-order representation of Karamata theorem ⋮ Risk Analysis via Generalized Pareto Distributions ⋮ Markov Switching Garch Models: Higher Order Moments, Kurtosis Measures, and Volatility Evaluation in Recessions and Pandemic
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