Francq, Christian; Zakoïan, Jean-Michel - In: Journal of Econometrics 184 (2015) 1, pp. 158-173
This paper introduces the concept of risk parameter in conditional volatility models of the form ϵt=σt(θ0)ηt 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 θ0 and the...