Value-at-Risk analysis in the presence of asymmetry and long memory : the case of Turkish Stock Market
Year of publication: |
2014
|
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Authors: | Balibey, Mesut ; Turkyilmaz, Serpil |
Published in: |
International journal of economics and financial issues : IJEFI. - Mersin : EconJournals, ISSN 2146-4138, ZDB-ID 2632572-X. - Vol. 4.2014, 4, p. 836-848
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Subject: | Value-at-Risk | FIAPARCH Model | Long Memory | Volatility | Schätzung | Estimation | Risikomaß | Risk measure | Volatilität | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
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