Statistical estimation errors of VaR under ARCH returns

DOI10.1016/J.JSPI.2007.01.008zbMath1152.62061OpenAlexW1979955716MaRDI QIDQ947259

Masanobu Taniguchi, Hiroyuki Taniai

Publication date: 29 September 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2007.01.008

zbMATH Keywords

value-at-riskfunctional delta methodARCH modelresidual empirical processdiscretized estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models

Uses Software

• RiskMetrics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation in nonlinear time series models
• On adaptive estimation
• Adaptive estimation in time-series models
• Asymptotic theory of statistical inference for time series
• On adaptive estimation in stationary ARMA processes
• Empirical process of the squared residuals of an ARCH sequence
• On empirical processes in heteroscedastic time series and their use for hypothesis testing and estimation
• Weak convergence of the sequential empirical processes of residuals in ARMA models
• Asymptotics of rank order statistics for ARCH residual empirical processes.
• Estimation of the Distribution of Noise in an Autoregression Scheme
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Asymptotic Statistics
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

This page was built for publication: Statistical estimation errors of VaR under ARCH returns