GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Year of publication: |
2022
|
---|---|
Authors: | Kaibuchi, Hibiki ; Kawasaki, Yoshinori ; Stupfler, G. |
Subject: | Bias correction | Extreme value theory (EVT) | Financial time series | GARCH model | Hill estimator | Value-at-Risk (VaR) | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Ausreißer | Outliers | Schätzung | Estimation | Finanzmarkt | Financial market | Systematischer Fehler | Bias |
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