Estimation risk in GARCH VaR and ES estimates /

Ítems similars

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