Analysis of Financial Risks in a GARCH Framework.

This study uses GARCH modelling to estimate and forecast conditional variances and covariances of returns calculated from a set of financial market series: twelve markka exchange rates, twelve corresponding short-term euro interest rates and the Finnish short-term interest rate, the Finnish long-term interest rate, the Finnish all-share index and real estate prices.

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Year of publication:	1998
Authors:	Ahlstedt, M.
Institutions:	Politiikan ja Talouden Tutkimuksen Laitos, Valtiotieteellinen tiedekunta
Subject:	ESTIMATOR \| ECONOMIC MODELS \| FINANCIAL MARKET \| RISK

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Series:	University of Helsinki, Department of Economics.
Type of publication:	Book / Working Paper
Notes:	179 pages
Classification:	G10 - General Financial Markets. General ; C50 - Econometric Modeling. General ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005625265