Narrow search
Showing 1 - 2 of 2
Cover Image
European Central Bank and Federal Reserve USA: monetary policy effects on the returns volatility of the Italian Stock Market Index Mibtel
Francesco, Guidi - Volkswirtschaftliche Fakultät, … - 2008
EGARCH models, this work shows that expansive monetary policies may influence stock market indexes much more than restrictive …
Persistent link: https://www.econbiz.de/10005789602
Cover Image
Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation
Ghorbel, Ahmed; Trabelsi, Abdelwahed - Volkswirtschaftliche Fakultät, … - 2007
as GARCH-normal, GARCH-t, EGARCH, TGARCH models, variance-covariance method, historical simulation and filtred Historical …
Persistent link: https://www.econbiz.de/10005836231