Estimation of tail thickness parameters from GJR-GARCH models
Year of publication: |
2009-06
|
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Authors: | Iglesias, Emma M. ; Linton, Oliver |
Institutions: | Departamento de Economía, Universidad Carlos III de Madrid |
Subject: | Pareto tail thickness parameter | GARCH-type models | Value-at-Risk | Extreme value theory | Heavy tails |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C12 - Hypothesis Testing ; C13 - Estimation ; C22 - Time-Series Models ; G11 - Portfolio Choice ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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