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Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error - MaRDI portal

Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error

From MaRDI portal
Publication:6654881

DOI10.1214/24-bjps610MaRDI QIDQ6654881

Fu-ming Lin, Saralees Nadarajah, Daimin Shi

Publication date: 20 December 2024

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)






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