Value-at-risk in emerging equity markets : comparative evidence for symmetric, asymmetric, and long-memory GARCH models
Year of publication: |
2007
|
---|---|
Authors: | McMillan, David G. ; Speight, Alan E. H. |
Published in: |
International review of finance. - Richmond, Victoria : Wiley Publishing Asia, ISSN 1369-412X, ZDB-ID 2010708-0. - Vol. 7.2007, 1/2, p. 1-19
|
Subject: | Risikomaß | Risk measure | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Asiatisch-pazifischer Raum | Asia-Pacific region |
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