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~person:"Chu, LanFen"
~person:"Fethi, Meryem Duygun"
~source:"repec"
~subject:"GJR"
~subject:"stock markets"
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Chu, LanFen
Fethi, Meryem Duygun
McAleer, Michael
13
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6
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4
Abderraheem, Sadeq
3
Al-Zoubi, Haitham
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1
How Volatile is ENSO?
McAleer, Michael
;
Chu, LanFen
;
Chen, Chi-Chung
-
Facultad de Ciencias Económicas y Empresariales, …
-
2011
results show that both the ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …
Persistent link: https://www.econbiz.de/10009141355
Saved in:
2
How Volatile is ENSO?
Chu, LanFen
;
McAleer, Michael
;
Chen, Chi-Chung
-
Institute of Economic Research, Kyoto University
-
2010
results show that both the ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …
Persistent link: https://www.econbiz.de/10008677573
Saved in:
3
Extreme value theory performance in the event of major financial crises
Rossignolo, Adrian F.
;
Fethi, Meryem Duygun
;
Shaban, Mohamed
- In:
International Journal of Banking, Accounting and Finance
4
(
2012
)
2
,
pp. 94-134
Current directives issued by the Basel Committee have established value-at-risk (VaR) as the standard measure to quantify market risk. In view of the wide range of applications and regulatory requirements, the development of accurate techniques becomes a topic of prime importance. VaR should...
Persistent link: https://www.econbiz.de/10010816494
Saved in:
4
How Volatile is ENSO?
Chu, LanFen
;
Chen, Chi-Chung
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
2010
results show that both the ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …
Persistent link: https://www.econbiz.de/10008465228
Saved in:
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