Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate
Wei Peng, Shichao Hu, Wang Chen, Yu-feng Zeng, Lu Yang
| Year of publication: |
2019
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|---|---|
| Authors: | Peng, Wei ; Hu, Shichao ; Chen, Wang ; Zeng, Yu-feng ; Yang, Lu |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 59.2019, p. 137-149
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| Subject: | Conditional autoregressive value at risk | Exchange rate | Oil price | Value at risk | Volatility index | Ölpreis | Volatilität | Volatility | Wechselkurs | Risikomaß | Risk measure | ARCH-Modell | ARCH model | US-Dollar | US dollar | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2018.08.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012202498