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 APA Style APA-ALL Style AAA 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). Decoupling tail index and extrapolation location for conditional tail risk forecasts in ARMA-TGARCH models. In Econometrie.http://hdl.handle.net/2105/60041

Publication