GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
H. Kaibuchi, Y. Kawasaki and G. Stupfler
| Year of publication: |
2022
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|---|---|
| Authors: | Kaibuchi, Hibiki ; Kawasaki, Yoshinori ; Stupfler, G. |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 7, p. 1277-1294
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| Subject: | Bias correction | Extreme value theory (EVT) | Financial time series | GARCH model | Hill estimator | Value-at-Risk (VaR) | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Ausreißer | Outliers | Schätzung | Estimation | Finanzmarkt | Financial market | Systematischer Fehler | Bias |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2048061 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367899