MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION
نویسندگان
چکیده
منابع مشابه
Interval Estimation of Value-at-Risk Based on GARCH Models with Heavy Tailed Innovations
ARCH and GARCH models are widely used to model financial market volatilities in risk management applications. Considering a GARCH model with heavy-tailed innovations, we characterize the limiting distribution of an estimator of the conditional Value-at-Risk (VaR), which corresponds to the extremal quantile of the conditional distribution of the GARCH process. We propose two methods, the normal ...
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Cheng-Der Fuh Graduate Institute of Statistics, National Central University, Jhong-Li and Institute of Statistical Science, Academia Sinica, Taipei, [email protected] Inchi Hu Department of ISOM, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong, [email protected] Ya-Hui Hsu Abbott Laboratories, USA, [email protected] Ren-Her Wang Department of Banking...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2012
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s021902491250029x