Early warning signals using AVaRs of infinitely divisible GARCH models : evidence from stock index markets
Chia-Chien Chang, Te-Chung Hu, Chiu-Fen Kao and Ya-Chi Chang
| Year of publication: |
2015
|
|---|---|
| Authors: | Chang, Chia-Chien ; Hu, Te-Chung ; Kao, Chiu-Fen ; Chang, Ya-Chi |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 47.2015, 43/45, p. 4630-4652
|
| Subject: | ARMA–GARCH | infinitely divisible innovations | AVaR | highly volatile markets | early warning signal | ARCH-Modell | ARCH model | Aktienindex | Stock index | Volatilität | Volatility | Frühwarnsystem | Early warning system | Theorie | Theory | Börsenkurs | Share price |
| 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/10011380706