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Value at risk estimation for heavy tailed distributions
Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125
Persistent link: https://www.econbiz.de/10010241908
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Multivariate volatility models : an application to ibovespa and dow jones industrial
Achcar, Jorge Alberto; Cepeda-Cuevo, Edilberto; Barossi … - In: Cuadernos de economía 31 (2012) 1, pp. 301-320
Persistent link: https://www.econbiz.de/10009792800
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Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation
Iglesias, Emma M. - In: Economic modelling 50 (2015), pp. 1-8
Persistent link: https://www.econbiz.de/10011439601
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Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1409-1419
Persistent link: https://www.econbiz.de/10011481716
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Value-at-risk forecasting of Chinese stock index and index future under jumps, permanent component, and asymmetric information
Li, Shaoyu; Wei, Lijia; Huang, Zehua - In: Emerging markets finance & trade : a journal of the … 52 (2016) 4/6, pp. 1072-1091
Persistent link: https://www.econbiz.de/10011563272
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Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model
Nasr, Adnen Ben; Ajmi, Ahdi Noomen; Gupta, Rangan - In: Applied financial economics 24 (2014) 13/15, pp. 993-1004
Persistent link: https://www.econbiz.de/10010415355
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Dynamic dependencies between the Tunisian stock market and other international stock markets : GARCH-EVT-Copula approach
Chebbi, A.; Hedhli, A. - In: Applied financial economics 24 (2014) 16/18, pp. 1215-1228
Persistent link: https://www.econbiz.de/10010418906
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Estimation of value-at-risk measures in the Islamic stock market : approach based on Extreme Value Theory (EVT)
Frad, Haïfa; Zouari, Ezzeddine - In: Journal of world economic research 3 (2014) 2, pp. 15-20
Persistent link: https://www.econbiz.de/10010422255
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Modelling conditional heteroskedasticity in JSE stock returns using the Generalised Pareto Distribution
Sigaukea, Caston; Makhwiting, Rhoda M.; Lesaoana, Maseka - In: African review of economics & finance : AREF : (a … 6 (2014) 1, pp. 41-55
Persistent link: https://www.econbiz.de/10010422319
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Realized volatility models and alternative Value-at-Risk prediction strategies
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic modelling 40 (2014), pp. 101-116
Persistent link: https://www.econbiz.de/10010425716