Risk-management criteria in the Latin-American stock markets : an assessment with a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry
Year of publication: |
2015
|
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Authors: | Lorenzo-Valdés, Arturo ; Ruíz-Porras, Antonio |
Published in: |
International journal of computational economics and econometrics. - Genève [u.a.] : Inderscience Enterprises, ISSN 1757-1170, ZDB-ID 2550146-X. - Vol. 5.2015, 4, p. 430-450
|
Subject: | conditional asymmetry | skewed normal | stock-market returns | risk management | Latin-America | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Börsenkurs | Share price | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Theorie | Theory |
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