Can VAR Be Predictive for Regulation? Evidence from the Futures Industry in Taiwan
Year of publication: |
2012
|
---|---|
Authors: | Chang, Matthew C. ; Hung, Jui-Cheng |
Published in: |
Journal for Economic Forecasting. - Institutul de Prognoza Economica. - 2012, 4, p. 147-162
|
Publisher: |
Institutul de Prognoza Economica |
Subject: | ANC | VaR | GJR-GARCH | futures industry |
-
Density and Risk Prediction with Non-Gaussian COMFORT Models
Paolella, Marc S., (2022)
-
Improving the value at risk forecasts: Theory and evidence from the financial crisis
Halbleib, Roxana, (2012)
-
Berlinger, Edina, (2015)
- More ...
-
Minimum variance hedging with bivariate regime-switching model for WTI crude oil
Hung, Jui-Cheng, (2011)
-
Hung, Jui-Cheng, (2009)
-
The impact of liquidity on portfolio value-at-risk forecasts
Hung, Jui-Cheng, (2020)
- More ...