Effects of asset frequency components on value-at-risk in emerging and developed markets : analyses with MODWT and CWT wavelets
Milton Biage, Pierre Joseph Nelcide
| Year of publication: |
2020
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| Authors: | Biage, Milton ; Nelcide, Pierre Joseph |
| Published in: |
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 2526-3722, ZDB-ID 2392364-7. - Vol. 40.2020, 1, p. 145-207
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| Subject: | FIGARCH | value-at-risk | wavelet decompositions | structural change | stock market | volatility models | Volatilität | Volatility | Risikomaß | Risk measure | Aktienmarkt | Stock market | Zustandsraummodell | State space model | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Schwellenländer | Emerging economies |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.12660/bre.v40n12020.77437 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012271374