Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error
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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)
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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