Testing value-at-risk models in emerging markets during crises : a case study on South Eastern European countries
Nikola Radivojevic, Nikola Curcic, Dragana Milojkovic and Vuk Miletic
| Year of publication: |
June 2016
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|---|---|
| Authors: | Radivojevic, Nikola ; Curcic, Nikola ; Milojkovic, Dragana ; Miletic, Vuk |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 10.2016, 2, p. 57-81
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| Subject: | value-at risk (VaR) | parametric and semiparametric VaR models | volatility | generalized autoregressive conditional heteroscedasticity (GARCH) | emerging markets | market risk | Schwellenländer | Emerging economies | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Volatilität | Volatility | Schätzung | Estimation | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011527481