Early warning signals using AVaRs of infinitely divisible GARCH models : evidence from stock index markets
Year of publication: |
2015
|
---|---|
Authors: | Chang, Chia-Chien ; Hu, Te-Chung ; Kao, Chiu-Fen ; Chang, Ya-Chi |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 47.2015, 43/45, p. 4630-4652
|
Subject: | ARMA–GARCH | infinitely divisible innovations | AVaR | highly volatile markets | early warning signal | Signalling | Frühwarnsystem | Early warning system | Börsenkurs | Share price | USA | United States | Theorie | Theory | ARCH-Modell | ARCH model |
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