GARCH models in value at risk estimation : empirical evidence from the Montenegrin stock exchange
Julija Cerović Smolović, Milena Lipovina-Božović and Saša Vujošević
| Year of publication: |
2017
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|---|---|
| Authors: | Cerovic Smolovic, Julija ; Lipovina-Božović, Milena ; Vujošević, Saša |
| Published in: |
Economic research. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1331-677X, ZDB-ID 2171828-3. - Vol. 30.2017, 1,1, p. 477-498
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| Subject: | Value at risk (VaR) | fat tails | GARCH models | Kupiec test | Christoffersen test | Pearson's Q test | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Schätzung | Estimation | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Aktienindex | Stock index | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income |
| 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/10012223947