Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified
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- Mohamed El Ghourabi & Christian Francq & Fedya Telmoudi, 2016. "Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 46-76, January.
References listed on IDEAS
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- repec:eee:intfor:v:33:y:2017:i:3:p:569-580 is not listed on IDEAS
- Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer, 2016. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," MPRA Paper 75770, University Library of Munich, Germany, revised 19 Dec 2016.
- repec:spr:sistpr:v:21:y:2018:i:3:d:10.1007_s11203-017-9160-x is not listed on IDEAS
More about this item
KeywordsAPARCH; Conditional VaR; Distortion Risk Measures; GARCH; Generalized Quasi Maximum Likelihood Estimation; Instrumental density.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-09 (All new papers)
- NEP-ECM-2013-11-09 (Econometrics)
- NEP-RMG-2013-11-09 (Risk Management)
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