Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence
Year of publication: |
2013
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Authors: | Degiannakis, Stavros ; Floros, Christos ; Dent, Pamela |
Type of publication: | Book / Working Paper |
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Language: | English |
Notes: | Degiannakis, Stavros and Floros, Christos and Dent, Pamela (2013): Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence. Published in: International Review of Financial Analysis No. 27 (2013): pp. 21-33. |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G15 - International Financial Markets ; G17 - Financial Forecasting |
Source: | BASE |
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