Assessing the performance of generalized autoregressive conditional heteroskedasticity-based value-at-risk models : a case of frontier markets
Dany Ng Cheong Vee; Preethee Nunkoo Gonpot; Noor Sookia
| Year of publication: |
2012
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|---|---|
| Authors: | Vee, Dany Ng Cheong ; Gonpot, Preethee Nunkoo ; Sookia, Noor |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 6.2012, 4, p. 95-111
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| Subject: | Aktienindex | Stock index | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Performance-Messung | Performance measurement | Stochastischer Prozess | Stochastic process | Schwellenländer | Emerging economies | Mauritius | Tunesien | Tunisia | Sri Lanka | Pakistan | Kasachstan | Kazakhstan | Kroatien | Croatia |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009692959