Local-linear estimation of time-varying-parameter garch models and associated risk measures
Year of publication: |
2021
|
---|---|
Authors: | Inoue, Atsushi ; Lu, Jin ; Pelletier, Denis |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 19.2021, 1, p. 202-234
|
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 |
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