Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market
Jung-Bin Su (Department of Finance, China University of Science and Technology, Taipei, Taiwan, ROC)
| Year of publication: |
April 2015
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| Authors: | Su, Jung-Bin |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 46.2015, p. 204-224
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| Subject: | Value at risk | Exponential GARCH model | Generalized t | Spillover effect | Stock market | Currency market | Developed market | Emerging market | Schwellenländer | Emerging economies | ARCH-Modell | ARCH model | Spillover-Effekt | Risikomaß | Risk measure | Devisenmarkt | Foreign exchange market | Aktienmarkt | Aktienindex | Stock index | Volatilität | Volatility | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2014.12.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011436595