Tail risk monotonicity in GARCH(1,1) models
type: Item
instance of: scholarly article
title: Tail risk monotonicity in GARCH(1,1) models
author: Paul Glasserman
author: Dan Pirjol
author: Qi Wu
published in: International Journal of Theoretical and Applied Finance
publication date: 2024-11-27T00:00:00Z
Mathematics Subject Classification ID: 91G15
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 7950063
zbMATH Keywords: GARCH
zbMATH Keywords: stochastic orders
zbMATH Keywords: tail asymptotics
zbMATH Keywords: temporal aggregation
zbMATH Keywords: Pareto tail
MaRDI profile type: Publication
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DOI: 10.1142/S0219024923500292
description: scientific article; zbMATH DE number 7950063