Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - 2010
There appears to be a consensus that the recent instability in global financial markets may be attributable in part to … the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks … over prevailing models for evaluating stock market risk exposure during distressed market periods. -- ARMA-GARCH model ; α …