Confidence intervals for conditional tail risk measures in ARMA-GARCH models

Yannick Hoga

Year of publication:	2019
Authors:	Hoga, Yannick
Subject:	ARMA-GARCH models \| Conditional expected shortfall \| Conditional Value-at-Risk \| Extreme value index \| Self-normalization. \| Risikomaß \| Risk measure \| ARCH-Modell \| ARCH model \| Risiko \| Risk \| Portfolio-Management \| Portfolio selection \| Aktienindex \| Stock index \| Ausreißer \| Outliers \| Schätztheorie \| Estimation theory \| Statistische Verteilung \| Statistical distribution \| Risikomanagement \| Risk management \| Schätzung \| Estimation

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1080/07350015.2017.1401543 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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