A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models : evidence from the Johannesburg stock exchange
Timmy Elenjical, Patrick Mwangi, Barry Panulo and Chun-Sung Huang
| Year of publication: |
August 2016
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| Authors: | Elenjical, Timmy ; Mwangi, Patrick ; Panulo, Barry ; Huang, Chun-Sung |
| Published in: |
Risk management : a journal of risk, crisis and disaster. - Basingstoke : Palgrave Macmillan, ISSN 1460-3799, ZDB-ID 2227982-9. - Vol. 18.2016, 2/3, p. 89-110
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| Subject: | risk management | Johannesburg stock exchange | conditional variance | market regimes | Kupiec test | dynamic quantile test | Südafrika | South Africa | Börsenhandel | Stock exchange trading | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/rm.2016.4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011537385