Tail risk monotonicity in GARCH(1,1) models
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Publication:6644186
DOI10.1142/s0219024923500292MaRDI QIDQ6644186
Qi Wu, Paul Glasserman, Dan Pirjol
Publication date: 27 November 2024
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)
Cites Work
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