JOURNAL ARTICLE
Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error
Fuming LinSaralees NadarajahDaimin Shi
Year: 2024 Journal: Brazilian Journal of Probability and Statistics Vol: 38 (3) Publisher: Associação Brasileira de Estatística
Keywords:
Mathematics Autoregressive conditional heteroskedasticity Statistics Econometrics Extreme value theory Heavy-tailed distribution Estimation Applied mathematics Volatility (finance) Probability distribution Economics
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Topics
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Stochastic processes and financial applications
Social Sciences → Economics, Econometrics and Finance → Finance
Credit Risk and Financial Regulations
Social Sciences → Economics, Econometrics and Finance → Finance
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