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Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
Chan, Ngai Hang
;
Deng, Shi-jie
;
Peng, Liang
;
Xia, Zhendong
- In:
Journal of econometrics
137
(
2007
)
2
,
pp. 556-576
Persistent link: https://www.econbiz.de/10003441983
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2
Empirical likelihood for GARCH models
Chan, Ngai Hang
;
Ling, Shiqing
- In:
Econometric theory
22
(
2006
)
3
,
pp. 403-428
Persistent link: https://www.econbiz.de/10003307474
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3
Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao
;
Chan, Ngai Hang
- In:
Econometric theory
37
(
2021
)
5
,
pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
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