JOURNAL ARTICLE
Tail Risk Monotonicity Under Temporal Aggregation in GARCH(1,1) Models
Paul GlassermanDan PirjolQi Wu
Year: 2019 Journal: SSRN Electronic Journal Publisher: RELX Group (Netherlands)
Keywords:
Monotonic function Econometrics Autoregressive conditional heteroskedasticity Economics Mathematics Computer science Volatility (finance)
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Topics
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Monetary Policy and Economic Impact
Social Sciences → Economics, Econometrics and Finance → General Economics, Econometrics and Finance
Market Dynamics and Volatility
Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics
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