Value-at-Risk on Central and Eastern European Stock Markets: An Empirical Investigation Using GARCH Models
Year of publication: |
2008-09
|
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Authors: | Bubák, Vít |
Institutions: | Institut ekonomických studií, Univerzita Karlova v Praze |
Subject: | Value-at-Risk | Expected Shortfall | Backtesting |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2008/18 28 pages |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G12 - Asset Pricing |
Source: |
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Bubák, Vít, (2008)
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang Karl, (2008)
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Value-at-Risk and Expected Shortfall when there is long range dependence.
Härdle, Wolfgang, (2008)
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Bubák, Vít, (2008)
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Volatility transmission in emerging European foreign exchange markets
Bubák, Vít, (2010)
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Bubák, Vít, (2008)
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