GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
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DOI: 10.1080/14697688.2022.2048061
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- Hibiki Kaibuchi & Yoshinori Kawasaki & Gilles Stupfler, 2021. "GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series," Papers 2104.09879, arXiv.org.
References listed on IDEAS
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