Klüppelberg, Claudia; Zhang, Jianing - In: Statistics & Risk Modeling 32 (2016) 2, pp. 103-124
Abstract In this paper we study time-consistent risk measures for returns that are given by a GARCH(1,1) model. We present a construction of risk measures based on their static counterparts that overcomes the lack of time-consistency. We then study in detail our construction for the risk...