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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with …
Persistent link: https://www.econbiz.de/10003636008
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Accurate risk and density prediction of asset prices
Steude, Sven Christian (contributor) - 2007
Persistent link: https://www.econbiz.de/10003640144
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Value-at-risk on Central and Eastern European stock markets: an empirical investigation using GARCH models
Bubák, Vít (contributor) - 2008
Using daily return data from the four major Central and Eastern European stock markets including fourteen highly liquid stocks and ATX (Vienna), PX (Prague), BUX (Budapest), and WIG20 (Warsaw) market indices, we model the value-at-risk using a set of univariate GARCH-type models. Our results...
Persistent link: https://www.econbiz.de/10003755230
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The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR
Bali, Turan G.; Mo, Hengyong; Tang, Yi - In: Journal of banking & finance 32 (2008) 2, pp. 269-282
Persistent link: https://www.econbiz.de/10003647212
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Value at risk and conditional extreme value theory via Markov regime switching models
Samuel, Yau Man Ze-To - In: The journal of futures markets 28 (2008) 2, pp. 155-181
Persistent link: https://www.econbiz.de/10003647707
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Asymmetric multivariate normal mixture GARCH
Haas, Markus (contributor); Mittnik, Stefan (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003651581
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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651587
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Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003738381
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Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model : an empirical study on foreign exchange rates
Hsu Ku, Yuan-Hung; Wang, Jai Jen - In: Applied economics letters 15 (2008) 7/9, pp. 533-538
Persistent link: https://www.econbiz.de/10003741298
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Value-at-Risk for Greek stocks
Angelidis, Timotheos; Benos, Alexandros Vassiliou - In: Multinational finance journal : MF ; quarterly … 12 (2008) 1/2, pp. 67-104
Persistent link: https://www.econbiz.de/10003744221