Francq, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2012
This paper introduces the concept of risk parameter in conditional volatility models of the form $\epsilon …_t=\sigma_t(\theta_0)\eta_t$ and develops statistical procedures to estimate this parameter. For a given risk measure $r$, the risk … parameter is expressed as a function of the volatility coefficients $\theta_0$ and the risk, $r(\eta_t)$, of the innovation …