Asymmetric GARCH value-at-risk over MSCI in financial crisis
Han-Ching Huang, Yong-Chern Su, Jen-Tien Tsui
| Year of publication: |
2015
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|---|---|
| Authors: | Huang, Han-Ching ; Su, Yong-chern ; Tsui, Jen-Tien |
| Published in: |
International journal of economics and financial issues : IJEFI. - Mersin : EconJournals, ISSN 2146-4138, ZDB-ID 2632572-X. - Vol. 5.2015, 2, p. 390-398
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| Subject: | Market Risk | Value-at-Risk | GARCH | MSCI | Financial Crisis | Finanzkrise | Financial crisis | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Risikomanagement | Risk management | Marktrisiko | Market risk | Bankrisiko | Bank risk | Risiko | Risk | Volatilität | Volatility |
| 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/10011453527