Looking for efficient QML estimation of conditional VaRs at multiple risk levels
Christian Francq, Jean-Michel Zakoïan
| Year of publication: |
December 2016
|
|---|---|
| Authors: | Francq, Christian ; Zakoïan, Jean-Michel |
| Published in: |
Annals of economics and statistics. - Amiens : GENES, ISSN 2115-4430, ZDB-ID 2588293-4. - Vol. 123/124.2016, p. 9-28
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| Subject: | Asymmetric Power GARCH | Distortion Risk Measures | Estimation Risk | Non-Gaussian Quasi-Maximum Likelihood | Value-at-Risk | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Risiko | Risk | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Risikomanagement | Risk management | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Zusammenfassung in französischer Sprache |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011592728