Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models-Reference-Cited by-同舟云学术

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Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models

Published:2010-03 Issue:2 Volume:31 Page:65-75
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:

Author:

Gong Yun,Li Zhouping,Peng Liang

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9892.2009.00644.x/fullpdf

Reference24 articles.

1. Strong approximation of the empirical process of GARCH sequences;Berkes;Annals of Applied Probability,2001

2. Limit results for the empirical process of squared residuals in GARCH models;Berkes;Stochastic Processes and Applications,2003

3. Asymptotics for GARCH squared residual correlations;Berkes;Econometric Theory,2003

4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

5. Empirical likelihood for GARCH models;Chan;Econometric Theory,2006

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Distributed estimation with empirical likelihood;Canadian Journal of Statistics;2022-06-21

2. Virtual Historical Simulation for estimating the conditional VaR of large portfolios;Journal of Econometrics;2020-08

3. Heavy Tailed Dependent Data;Inference for Heavy-Tailed Data Analysis;2017

4. Bibliography;Inference for Heavy-Tailed Data Analysis;2017

5. Frontiers in VaR forecasting and backtesting;International Journal of Forecasting;2016-04

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