Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations-Reference-Cited by-同舟云学术

Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations

Published:2007-04 Issue:2 Volume:137 Page:556-576
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Hang Chan Ngai,Deng Shi-Jie,Peng Liang,Xia Zhendong

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference27 articles.

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3. ARCH modeling in finance: a review of the theory and empirical evidence;Bollerslev;Journal of Econometrics,1992

4. Christoffersen, P., Gonçalves, S., 2005. Estimation risk in financial risk management. Journal of Risk 7(3), 1–28.

5. Danielsson, J., de Vries, C., 1997. Value-at-risk and extreme returns. FMG-Discussion Paper No. 273, Financial Markets Group, London School of Economics.

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