Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models
| Year of publication: |
2013
|
|---|---|
| Authors: | OPREANA, Claudiu Ilie |
| Published in: |
Expert Journal of Finance. - Sprint Investify. - Vol. 1.2013, 1, p. 4-18
|
| Publisher: |
Sprint Investify |
| Subject: | Value-at-Risk | volatility forecasting | EWMA | GARCH models | autocorrelation |
| Extent: | application/pdf |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010903776