Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model
type: Item
instance of: scholarly article
title: Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model
zbMATH Open document ID: 1303.62051
author: Yanping Yi
author: Xingdong Feng
author: Zhuo Huang
published in: Economics Letters
publication date: 2015-01-14T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6386024
zbMATH Keywords: extreme value theory
zbMATH Keywords: GARCH
zbMATH Keywords: quantile regression
zbMATH Keywords: semiparametric
zbMATH Keywords: value at risk
describes a project that uses: CAViaR
MaRDI profile type: Publication
full work available at URL: j.econlet.2014.06.028
OpenAlex ID: W3122141131
cites work: Q3540680
cites work: Q5485944
cites work: Autoregressive Conditional Density Estimation
cites work: A simple general approach to inference about the tail of a distribution
cites work: Q5445942
cites work: Estimation of High Conditional Quantiles for Heavy-Tailed Distributions
cites work: Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models
DOI: 10.1016/J.ECONLET.2014.06.028
description: scientific article; zbMATH DE number 6386024