Local-linear estimation of time-varying-parameter garch models and associated risk measures
Year of publication: |
2021
|
---|---|
Authors: | Inoue, Atsushi ; Lu, Jin ; Pelletier, Denis |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 19.2021, 1, p. 202-234
|
Subject: | time-varying parameters | expected shortfall | value-at-risk | realized volatility | Schätzung | Estimation | Volatilität | Volatility | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Messung | Measurement | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection |
-
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro, (2022)
-
Correlated idiosyncratic volatility shocks
Qiao, Xiao, (2021)
-
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda, (2023)
- More ...
-
Rolling window selection for out-of-sample forecasting with time-varying parameters
Inoue, Atsushi, (2017)
-
Window selection for out-of-sample forecasting with time-varying parameters
Inoue, Atsushi, (2014)
-
Window selection for out-of-sample forecasting with time-varying parameters
Inoue, Atsushi, (2014)
- More ...