Forecasting financial volatility of the Athens stock exchange daily returns : an application of the asymmetric normal mixture GARCH model
Anastassios A. Drakos, Georgios P. Kouretas and Leonidas P. Zarangas
| Year of publication: |
2010
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|---|---|
| Authors: | Drakos, Anastassios A. ; Kouretas, Georgios P. ; Zarangas, Leonidas P. |
| Published in: |
International journal of finance & economics : IJFE. - Chichester, Sussex : Wiley, ISSN 1076-9307, ZDB-ID 1324693-8. - Vol. 15.2010, 4, p. 331-350
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| Subject: | Volatility | risk management | GARCH | asymmetric normal mixture GARCH | Kupiec test | ARCH-Modell | ARCH model | Volatilität | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Griechenland | Greece | Risikomaß | Risk measure | Schätzung | Estimation | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution |
| 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/10008811307