Do VaR exceptions have seasonality? : an empirical study on Indian commodity spot prices
Apoorv Gupta, Prabina Rajib
| Year of publication: |
2018
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|---|---|
| Authors: | Gupta, Apoorv ; Rajib, Prabina |
| Published in: |
IIMB management review. - Bangalore : IIMB, ISSN 0970-3896, ZDB-ID 2413253-6. - Vol. 30.2018, 4, p. 369-384
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| Subject: | VaR | GARCH | APARCH | RiskMetrics's EWMA | Commodity spot prices | Commodity seasonality | Rohstoffderivat | Commodity derivative | Warenbörse | Commodity exchange | Rohstoffpreis | Commodity price | Indien | India | Saisonale Schwankungen | Seasonal variations | VAR-Modell | VAR model | ARCH-Modell | ARCH model | Theorie | Theory | Schätzung | Estimation | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iimb.2018.05.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012042010