Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
Author:
Affiliation:
1. Faculty of Economics and Business Administration, University of Duisburg-Essen, Universitätsstraße 12, D-45117 Essen, Germany ()
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07350015.2017.1401543
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1. Coherent Measures of Risk
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