Zhao, Xin; Scarrott, Carl; Oxley, Les; Reale, Marco - In: Applied financial economics 20 (2010) 1/3, pp. 63-72
This article introduces a new approach for estimating Value at Risk (VaR), which is then used to show the likelihood of the impacts of the current financial crisis. A commonly used two-stage approach is taken, by combining a Generalized Autoregressive Conditional Heteroscedasticity (GARCH)...
