Asymmetric volatility effects in risk management: An empirical analysis using a stock index futures
Year of publication: |
2020
|
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Authors: | Benavides, Guillermo |
Publisher: |
Ciudad de México : Banco de México |
Subject: | Asymmetric volatility | Backtesting | GARCH | TARCH | Implied volatility | Stock indexfutures | Value at Risk | Mexico |
Series: | Working Papers ; 2020-10 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1734897430 [GVK] hdl:10419/240699 [Handle] RePEc:bdm:wpaper:2020-10 [RePEc] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E31 - Price Level; Inflation; Deflation ; E37 - Forecasting and Simulation |
Source: |
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Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures
Benavides, Guillermo, (2020)
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Benavides, Guillermo, (2010)
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Benavides, Guillermo, (2010)
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Turner, Paul, (2001)
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Benavides, Guillermo, (2010)
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Abarca, Gustavo, (2010)
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