Estimation risk in GARCH VaR and ES estimates
Year of publication: |
2008
|
---|---|
Authors: | Gao, Feng ; Song, Fengming |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 24.2008, 5, p. 1404-1424
|
Subject: | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Schätztheorie | Estimation theory |
-
Special issue on high frequency data in finance
Baillie, Richard, (1997)
-
Backtesting value-at-risk : a duration-based approach
Christoffersen, Peter F., (2003)
-
Advances in the specification and the estimation of multivariate GARCH models
Rombouts, Jeroen V. K., (2004)
- More ...
-
Rational or irrational expectations? Evidence from China's stock market
Gao, Feng, (2008)
-
Coherent risk measure, equilibrium and equilibrium pricing
Gao, Feng, (2007)
-
ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
Gao, Feng, (2008)
- More ...