Estimation risk in GARCH VaR and ES estimates /

Míreanna Comhchosúla

• M-estimation in GARCH models /
  le: Mukherjee, Kanchan.
• On the relation between the vec and bekk multivariate GARCH models : Notes and problems /
  le: Stelzer, Robert.
• Adaptive density estimation for general ARCH models /
  le: Comte, F.
• Ergodicity, mixing, and existence of moments of a class of markov models with applications to garch and acd models /
  le: Meitz, Mika.
• Accounting for extreme values in GARCH forecasts of day-ahead electricity prices /
  le: Guirguis, Hany S.