Local-linear estimation of time-varying-parameter garch models and associated risk measures
Atsushi Inoue, Lu Jin, and Denis Pelletier
| Year of publication: |
2021
|
|---|---|
| Authors: | Inoue, Atsushi ; Lu, Jin ; Pelletier, Denis |
| Subject: | time-varying parameters | expected shortfall | value-at-risk | realized volatility | Risikomaß | Risk measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa026 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012504329