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Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression.

Jun ZhaoYi ZhangSheng WuLiming Shen
Published in: J. Comput. Appl. Math. (2022)
Keyphrases
  • distribution free
  • normal distribution
  • large deviations
  • garch model
  • parameter estimation
  • gaussian distribution
  • vc dimension