Work

Extreme Conditional Expectile Estimation for Heavy-Tailed ARMA-GARCH Models

Year: 2025

Type: article

Source: Journal of Financial Econometrics

DOI: 10.1093/jjfinec/nbaf015

Authors: Yaolan Ma, Bo Wei

Institution: North Minzu University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: National Natural Science Foundation of China, Natural Science Foundation of Ningxia Province

Awards: G5165451826, G7157180146

OpenAlex ID: W4412962334

FWCI:

Cites: 35

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Related to: 10