Extreme conditional tail risk inference in ARMA–GARCH models

Yaolan Ma; Bo Wei

doi:10.1016/j.jedc.2025.105128

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Extreme conditional tail risk inference in ARMA–GARCH models

Yaolan Ma Bo Wei

Year: 2025 Journal: Journal of Economic Dynamics and Control Vol: 177 Pages: 105128-105128 Publisher: Elsevier BV

DOI: 10.1016/j.jedc.2025.105128

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Keywords:

Autoregressive conditional heteroskedasticity Economics Inference Econometrics Tail risk Conditional variance Financial economics Mathematical economics Computer science Volatility (finance) Artificial intelligence

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Financial Risk and Volatility Modeling

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Credit Risk and Financial Regulations

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Extreme conditional tail risk inference in ARMA–GARCH models

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