Examining the value-at-risk performance of fractionally integrated GARCH models : evidence from energy commodities
Onder Buberkoku
| Year of publication: |
2018
|
|---|---|
| Authors: | Buberkoku, Onder |
| Published in: |
International journal of economics and financial issues : IJEFI. - Mersin : EconJournals, ISSN 2146-4138, ZDB-ID 2632572-X. - Vol. 8.2018, 3, p. 36-50
|
| Subject: | FIGARCH models | value-at-risk | expected shortfall | energy commodities | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Energiemarkt | Energy market | Volatilität | Volatility | Risikomanagement | Risk management | Welt | World |
| 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/10011978920