Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data
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- Amine JALAL & Michael ROCKINGER, 2004. "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series rp115, International Center for Financial Asset Management and Engineering.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
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More about this item
KeywordsExtreme value theory Value-at-Risk (VaR) Expected shortfall GARCH Markov switching Jump diffusion Backtesting;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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