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

Journal of Econometrics

Volumn 137, Issue 2, 2007, Pages 556-576

  Hang Chan, Ngai ^a   Deng, Shi Jie ^b   Peng, Liang ^c   Xia, Zhendong ^b  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b Georgia Institute of Technology   (United States)

^c GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Data tilting; GARCH models; Heavy tail; Tail empirical process; Value at risk

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; FINANCIAL DATA PROCESSING; MATHEMATICAL MODELS; METHOD OF MOMENTS; STATISTICAL TESTS;

DATA TILTING METHODS; INNOVATION; TAIL EMPIRICAL PROCESS;

RISK MANAGEMENT;

EID: 33847192442     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.08.008     Document Type: Article

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