Value-at-risk on Central and Eastern European stock markets: An empirical investigation using GARCH models
Year of publication: |
2008
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Authors: | Bubák, Vít |
Publisher: |
Prague : Charles University in Prague, Institute of Economic Studies (IES) |
Subject: | Aktienmarkt | Risikomaß | ARCH-Modell | Schätzung | Osteuropa | Value-at-Risk | Expected Shortfall | Backtesting |
Series: | IES Working Paper ; 18/2008 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 578584735 [GVK] hdl:10419/83344 [Handle] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G12 - Asset Pricing |
Source: |
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Bubák, Vít, (2008)
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang Karl, (2008)
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang, (2008)
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Volatility transmission in emerging European foreign exchange markets
Bubák, Vít, (2011)
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Volatility transmission in emerging European foreign exchange markets
Bubák, Vít, (2010)
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Volatility Transmission in Emerging European Foreign Exchange Markets
Bubák, Vít, (2010)
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