A quasi-maximum likelihood estimation strategy for value-at-risk forecasting: Application to equity index futures markets

Mathematics

• Equity 92%
• Value at Risk 86%
• Quasi-maximum Likelihood 85%
• Forecasting 73%
• GARCH Model 69%
• Market 64%
• Maximum Likelihood Estimation 60%
• Strategy 45%
• Innovation 26%
• Evidence 21%
• Asset Pricing 20%
• Crash 18%
• Empirical Analysis 17%
• Risk Management 17%
• ARMA Model 16%
• Tempered Distribution 16%
• Infinitely Divisible 16%
• Stable Models 16%
• Stable Distribution 15%
• Forecast 15%
• Model-based 11%
• Prediction 10%
• Model 8%
• Estimate 5%

Business & Economics

• Quasi-maximum Likelihood Estimation 100%
• Equity 72%
• GARCH Model 66%
• Futures Markets 64%
• Value at Risk 63%
• Empirical Evidence 32%
• Cash Market 23%
• Stable Distribution 22%
• Backtesting 20%
• Autoregressive Moving Average 19%
• Asset Pricing 17%
• Crash 16%
• Trading Volume 16%
• Market Risk 15%
• Innovation 15%
• Usefulness 15%
• Prediction 13%
• Risk Management 11%
• Empirical Analysis 11%
• Empirical Results 11%