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Search: subject:"Kupiec test"
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ARCH model
Kupiec test
16
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Drakos, Anastassios A.
2
Kouretas, Georgios P.
2
Zarangas, Leonidas P.
2
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1
Bedi, Prateek
1
Cerovic Smolovic, Julija
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Chinhamu, Knowledge
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Diamandis, Panayotis F.
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Mwangi, Patrick
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International journal of finance & economics : IJFE
2
Business analyst : a refereed journal of Shri Ram College of Commerce
1
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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ECONIS (ZBW)
8
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1
Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models
Nilchi, Moslem
;
Farid, Daryush
;
Peymany, Moslem
; …
- In:
Iranian journal of finance
7
(
2023
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014429053
Saved in:
2
GARCH models in value at risk estimation : empirical evidence from the Montenegrin stock exchange
Cerovic Smolovic, Julija
;
Lipovina-Božović, Milena
; …
- In:
Economic research
30
(
2017
)
1,1
,
pp. 477-498
Persistent link: https://www.econbiz.de/10012223947
Saved in:
3
Backtesting VaR models : the case of commodities
Shankar, Devesh
;
Bedi, Prateek
;
Agnihotri, Shalini
; …
- In:
Business analyst : a refereed journal of Shri Ram …
38
(
2017
)
1
,
pp. 36-57
Persistent link: https://www.econbiz.de/10012212962
Saved in:
4
Value-at-risk estimation of gold market with stable generalised hyperbolic distributions
Chinhamu, Knowledge
;
Chikobvu, Delson
- In:
Journal of economic and financial sciences
10
(
2017
)
3
,
pp. 508-512
Persistent link: https://www.econbiz.de/10011795972
Saved in:
5
A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models : evidence from the Johannesburg stock exchange
Elenjical, Timmy
;
Mwangi, Patrick
;
Panulo, Barry
; …
- In:
Risk management : a journal of risk, crisis and disaster
18
(
2016
)
2/3
,
pp. 89-110
Persistent link: https://www.econbiz.de/10011537385
Saved in:
6
Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails
Gencer, Hatice Gaye
;
Demiralay, Sercan
- In:
Emerging markets finance & trade : a journal of the …
52
(
2016
)
1/3
,
pp. 639-657
Persistent link: https://www.econbiz.de/10011562539
Saved in:
7
Asset allocation in the Athens stock exchange : a variance sensitivity analysis
Diamandis, Panayotis F.
;
Drakos, Anastassios A.
; …
- In:
International journal of finance & economics : IJFE
17
(
2012
)
2
,
pp. 167-181
Persistent link: https://www.econbiz.de/10009615696
Saved in:
8
Forecasting financial volatility of the Athens stock exchange daily returns : an application of the asymmetric normal mixture GARCH model
Drakos, Anastassios A.
;
Kouretas, Georgios P.
; …
- In:
International journal of finance & economics : IJFE
15
(
2010
)
4
,
pp. 331-350
Persistent link: https://www.econbiz.de/10008811307
Saved in:
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