GARCH based VaR estimation : an empirical evidence from BRICS stock markets
Siva Kiran Guptha. K, Prabhakar Rao. R
| Year of publication: |
2019
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|---|---|
| Authors: | Guptha, Sivakiran ; Rao, R. Prabhakar |
| Published in: |
Theoretical and applied economics : GAER review. - Bucureşti : AGER, ISSN 1841-8678, ZDB-ID 2640970-7. - Vol. 26.2019, 4/621, p. 201-218
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| Subject: | emerging markets | GARCH models | volatility and leverage | VaR estimation | backtesting | Volatilität | Volatility | ARCH-Modell | ARCH model | Schwellenländer | Emerging economies | VAR-Modell | VAR model | Aktienmarkt | Stock market | Schätzung | Estimation | Schätztheorie | Estimation theory | Risikomaß | Risk measure | BRICS-Staaten | BRICS countries |
| 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/10012432615