Forecasting and backtesting of market risks in emerging markets
Year of publication: |
2021
|
---|---|
Authors: | Fantazzini, Dean |
Published in: |
Risk assessment and financial regulation in emerging markets' banking : trends and prospects. - Cham, Switzerland : Springer, ISBN 978-3-030-69747-1. - 2021, p. 199-223
|
Subject: | ARFIMA | Forecasting | GARCH | Google trends | HAR | Implied volatility | Realized volatility | Realized-GARCH | Value-at-risk | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schwellenländer | Emerging economies | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Marktrisiko | Market risk |
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