Estimation of extreme value-at-risk : an EVT approach for quantile GARCH model
Yanping Yi; Xingdong Feng; Zhuo Huang
| Year of publication: |
2014
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|---|---|
| Authors: | Yi, Yanping ; Feng, Xingdong ; Huang, Zhuo |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 124.2014, 3, p. 378-381
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| Subject: | Extreme value theory | GARCH | Quantile regression | Semiparametric | Value at risk | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Ausreißer | Outliers | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010495168