Modelling conditional heteroskedasticity in JSE stock returns using the Generalised Pareto Distribution
Year of publication: |
2014
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Authors: | Sigaukea, Caston ; Makhwiting, Rhoda M. ; Lesaoana, Maseka |
Published in: |
African review of economics & finance : AREF : (a journal of the African Finance and Economics Consult). - [Erscheinungsort nicht ermittelbar] : UNISA, ISSN 2042-1478, ZDB-ID 2743728-0. - Vol. 6.2014, 1, p. 41-55
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Subject: | Extreme value theory | GARCH | Generalised Pareto Distribution | risk management | Theorie | Theory | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Ausreißer | Outliers | Risikomaß | Risk measure | Risikomanagement | Risk management | Pareto-Optimum | Pareto efficiency | Aktienindex | Stock index | Börsenkurs | Share price |
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