Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data
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- Jalal, Amine & Rockinger, Michael, 2008. "Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 868-877, December.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2015. "A comparison of Expected Shortfall estimation models," Journal of Economics and Business, Elsevier, vol. 78(C), pages 14-47.
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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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
- NEP-CFN-2005-04-16 (Corporate Finance)
- NEP-ETS-2005-04-16 (Econometric Time Series)
- NEP-FIN-2005-04-16 (Finance)
- NEP-RMG-2005-04-16 (Risk Management)
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