Modelling conditional heteroskedasticity in JSE stock returns using the Generalised Pareto Distribution
Caston Sigaukea, Rhoda M. Makhwiting and Maseka Lesaoana
| 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 | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Theorie | Theory | Risikomanagement | Risk management | Pareto-Optimum | Pareto efficiency | Risikomaß | Risk measure | Ausreißer | Outliers |
| 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/10010422319