Decoupling tail index and extrapolation location for conditional tail risk forecasts in ARMA-TGARCH models

Additional Metadata
Keywords	ARMA-TGARCH filter; Conditional Expected Shortfall; Conditional Value-at-Risk; extrapolation location; generalised Weissman estimator
Thesis Advisor	Zhou, C.
Persistent URL	hdl.handle.net/2105/60041
Series	Econometrie
Organisation	Erasmus School of Economics
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Rooden, L. (2021, November 4). Decoupling tail index and extrapolation location for conditional tail risk forecasts in ARMA-TGARCH models. Econometrie. Retrieved from http://hdl.handle.net/2105/60041

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