Estimation and performance assessment of Value-at-Risk and expected shortfall based on long-memory GARCH-class models
Význam asymetrie a LM (long memory) v modelovaní, predvídanie podmienenej volatility a trhového rizika na akciových trhoch v regióne GCC (Gulf Cooperation Council). Rada pre spoluprácu v Perzskom zálive (GCC). Modely GARCH, ARCH.
Salvato in:
| Autore principale: | |
|---|---|
| Altri autori: | |
| Natura: | Capitolo di libro |
| Lingua: | inglese |
| Soggetti: | |
| Tags: |
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
Documenti analoghi: Estimation and performance assessment of Value-at-Risk and expected shortfall based on long-memory GARCH-class models
- <The> Efficiency of GARCH Models in Realizing Value at Risk Estimates
- Modeling volatility of DAX index using GARCH model
- Využitie lineárneho modelu GARCH v súvislosti s analýzou akciového trhu
- Zachytenie transmisného mechanizmu volatility medzi akciovými trhmi
- International dependance and contagion across asset classes: the case of Poland
- FX Market Volatility Modelling: Can We Use Low-Frequency Data?