Fractionally integrated Log-GARCH with application to value at risk and expected shortfall
Yuanhua Feng, Jan Beran, Sebastian Letmathe and Sucharita Ghosh
| Year of publication: |
November 2020
|
|---|---|
| Authors: | Feng, Yuanhua ; Beran, Jan ; Letmathe, Sebastian ; Ghosh, Sucharita |
| Publisher: |
[Paderborn] : Universität Paderborn, Center for International Economics |
| Subject: | FI-Log-GARCH | stationary solutions | finite fourth moments | covariance structure | rolling forecasting VaR and ES | traffic light test of ES | Risikomaß | Risk measure | Theorie | Theory | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Statistischer Test | Statistical test | ARCH-Modell | ARCH model |