Range-based models in estimating value-at-risk (VaR)
Year of publication: |
2008
|
---|---|
Authors: | Beronilla, Nikkin L. ; Mapa, Dennis S. |
Published in: |
Philippine Review of Economics. - School of Economics. - Vol. 45.2008, 2, p. 87-99
|
Publisher: |
School of Economics |
Subject: | value-at-risk | Parkinson range | Garman-Klass range | range-based GARCH |
-
Mehmke, Fabian, (2012)
-
A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough
Mapa, Dennis S., (2004)
-
A Range-Based GARCH Model for Forecasting Volatility
Mapa, Dennis S., (2003)
- More ...
-
Range-based models in estimating value-at-risk (VaR)
Beronilla, Nikkin L., (2008)
-
Range-based models in estimating value-at-risk (VaR)
Beronilla, Nikkin L., (2008)
-
Measuring economic potential via the gravity model of trade
Beronilla, Nikkin L., (2016)
- More ...