Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Year of publication: |
2022
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Authors: | Makatjane, Katleho |
Published in: |
International Journal of Financial Studies : open access journal. - Basel : MDPI, ISSN 2227-7072, ZDB-ID 2704235-2. - Vol. 10.2022, 1, Art.-No. 10, p. 1-23
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Subject: | expected shortfall | extreme value theory | generalized autoregressive score | generalized extreme value distribution | stock returns | time-varying | Value-at-Risk | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Ausreißer | Outliers | ARCH-Modell | ARCH model | Aktienindex | Stock index | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | Theorie | Theory | Bootstrap-Verfahren | Bootstrap approach | Börsenkurs | Share price |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/ijfs10010010 [DOI] hdl:10419/257829 [Handle] |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C40 - Econometric and Statistical Methods: Special Topics. General ; C59 - Econometric Modeling. Other ; E44 - Financial Markets and the Macroeconomy |
Source: | ECONIS - Online Catalogue of the ZBW |
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