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Semiparametric GARCH models for value-at-risk and expected shortfall: an object-driven procedure

Yuanhua Feng & Christian Peitz

Journal of Risk2025https://doi.org/10.21314/jor.2025.007article
AJG 2ABDC B
Weight
0.50

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https://doi.org/https://doi.org/10.21314/jor.2025.007

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@article{yuanhua2025,
  title        = {{Semiparametric GARCH models for value-at-risk and expected shortfall: an object-driven procedure}},
  author       = {Yuanhua Feng & Christian Peitz},
  journal      = {Journal of Risk},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.21314/jor.2025.007},
}

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Semiparametric GARCH models for value-at-risk and expected shortfall: an object-driven procedure

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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