Effects of Different QMLEs on the EVT Approach in Estimation of Conditional Tail Risk Measures

Additional Metadata
Keywords	ARMA-GARCH models; Heavy-tailed error; Quasi-likelihood; Conditional expected shortfall; Conditional Value-at-Risk; Extreme value index.
Thesis Advisor	Zhou, C.
Persistent URL	hdl.handle.net/2105/60057
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	Guo, H. (2021, November 4). Effects of Different QMLEs on the EVT Approach in Estimation of Conditional Tail Risk Measures. Econometrie. Retrieved from http://hdl.handle.net/2105/60057

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