Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches
type: Item
instance of: scholarly article
title: Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches
zbMATH Open document ID: 1151.91707
author: Michael C. I. Nwogugu
published in: Applied Mathematics and Computation
publication date: 2007-01-11T00:00:00Z
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5115444
zbMATH Keywords: complexity
zbMATH Keywords: GARCH/ARMA
zbMATH Keywords: Stochastic-Volatility
zbMATH Keywords: risk and uncertainty
zbMATH Keywords: psychology
zbMATH Keywords: non-linear analysis
describes a project that uses: CAViaR
MaRDI profile type: Publication
full work available at URL: j.amc.2006.01.080
OpenAlex ID: W2064636207
cites work: The use of GARCH models in VaR estimation
cites work: Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint
cites work: Modelling financial time series using multifractal random walks
cites work: Alternative models for stock price dynamics.
cites work: Risk and utility in portfolio optimization
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
cites work: The Econometrics of Ultra-high-frequency Data
cites work: Understanding the cubic and half-cubic laws of financial fluctuations
cites work: On the forecasting ability of ARFIMA models when infrequent breaks occur
cites work: Do asset market prices reflect traders' judgment biases?
cites work: High volatility, thick tails and extreme value theory in value-at-risk estimation.
cites work: Prospect Theory: An Analysis of Decision under Risk
cites work: Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets
cites work: If Nonlinear Models Cannot Forecast, What Use Are They?
cites work: Q5310532
cites work: Rethinking Rigor in Calculus: The Role of the Mean Value Theorem
cites work: From Brownian motion to operational risk: statistical physics and financial markets
cites work: A synthesis of risk measures for capital adequacy
cites work: MULTI-AGENT MARKET MODELING OF FOREIGN EXCHANGE RATES
DOI: 10.1016/J.AMC.2006.01.080
description: scientific article; zbMATH DE number 5115444