{"title":"观测过程为 iid 时基于 GARCH 的风险价值评估","authors":"Salah Khardani, Hamdi Raïssi, Camila Villegas","doi":"10.1080/03610918.2024.2397549","DOIUrl":null,"url":null,"abstract":"In this paper, we study the estimation of Value-at-Risk (VaR) using GARCH models when the observed process is actually iid. Such an overfitting situation entails that the almost sure consistency of...","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"GARCH based value-at-risk assessment when the observed process is iid\",\"authors\":\"Salah Khardani, Hamdi Raïssi, Camila Villegas\",\"doi\":\"10.1080/03610918.2024.2397549\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we study the estimation of Value-at-Risk (VaR) using GARCH models when the observed process is actually iid. Such an overfitting situation entails that the almost sure consistency of...\",\"PeriodicalId\":0,\"journal\":{\"name\":\"\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0,\"publicationDate\":\"2024-09-05\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1080/03610918.2024.2397549\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/03610918.2024.2397549","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
GARCH based value-at-risk assessment when the observed process is iid
In this paper, we study the estimation of Value-at-Risk (VaR) using GARCH models when the observed process is actually iid. Such an overfitting situation entails that the almost sure consistency of...
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
