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Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008

portfolio (Bayer, Siemens and Volkswagen). Classical V aR estimation methodology such as exponential moving average (EMA) as …

Persistent link: https://www.econbiz.de/10003636008

Clements, Adam; Collet, Jérôme - In: Applied financial economics 18 (2008) 7/9, pp. 599-604

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Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

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Pasha, G. R.; Qasim, Tahira; Chaudhary, Mohammad Aslam - In: The Lahore journal of economics 12 (2007) 2, pp. 115-149

Persistent link: https://www.econbiz.de/10003679727

Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10003987330

Kiliç, Rehim - In: Journal of empirical finance 18 (2011) 2, pp. 368-378

Persistent link: https://www.econbiz.de/10009301107

Teyssière, Gilles - 1999 - Rev.

, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …

Persistent link: https://www.econbiz.de/10009579181

Idier, Julien - In: The European journal of finance 17 (2011) 1/2, pp. 27-48

Persistent link: https://www.econbiz.de/10009155466

Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 32-43

is carried out via numerical simulation in the case of simulated T-GARCH models and two real series, namely German and US …

Persistent link: https://www.econbiz.de/10011393264

Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440

Persistent link: https://www.econbiz.de/10011396558