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Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations

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  • Hang Chan, Ngai
  • Deng, Shi-Jie
  • Peng, Liang
  • Xia, Zhendong
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-4K428TS-1/2/681030b83d7568444c054fdd9a37b96b
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 137 (2007)
    Issue (Month): 2 (April)
    Pages: 556-576

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    Handle: RePEc:eee:econom:v:137:y:2007:i:2:p:556-576

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    Web page: http://www.elsevier.com/locate/jeconom

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    Cited by:
    1. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers ws087326, Universidad Carlos III, Departamento de Estadística y Econometría.
    2. Yang Yan & Dajing Shang & Oliver Linton, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers CWP25/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    4. Christian Gouriéroux & Jean-Michel Zakoian, 2012. "Estimation Adjusted VaR," Working Papers 2012-16, Centre de Recherche en Economie et Statistique.
    5. María Rosa Nieto & Esther Ruiz, 2010. "Bootstrap prediction intervals for VaR and ES in the context of GARCH models," Statistics and Econometrics Working Papers ws102814, Universidad Carlos III, Departamento de Estadística y Econometría.
    6. Chen, Jian & Peng, Liang & Zhao, Yichuan, 2009. "Empirical likelihood based confidence intervals for copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 137-151, January.
    7. Su, Jung-Bin & Hung, Jui-Cheng, 2011. "Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation," Economic Modelling, Elsevier, vol. 28(3), pages 1117-1130, May.
    8. Xin Zhao & Carl John Scarrott & Marco Reale & Les Oxley, 2009. "Bayesian Extreme Value Mixture Modelling for Estimating VaR," Working Papers in Economics 09/15, University of Canterbury, Department of Economics and Finance.
    9. Cheng, Wan-Hsiu & Hung, Jui-Cheng, 2011. "Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 160-173, January.
    10. Köksal, Bülent & Orhan, Mehmet, 2012. "Market risk of developed and developing countries during the global financial crisis," MPRA Paper 37523, University Library of Munich, Germany.
    11. Lönnbark, Carl, 2008. "A Corrected Value-at-Risk Predictor," UmeÃ¥ Economic Studies 734, Umeå University, Department of Economics.

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