Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Szabolcs Blazsek, Han-Chiang Ho and Su-Ping Liu
| Year of publication: |
2018
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|---|---|
| Authors: | Blazsek, Szabolcs ; Ho, Han-Chiang ; Liu, Su-Ping |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 50.2018, 56, p. 6047-6060
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| Subject: | Dynamic conditional score (DCS) models | expected shortfall (ES) | Markov-switching (MS) models | systematic risk analysis | value-at-risk (VaR) | Risikomaß | Risk measure | Markov-Kette | Markov chain | Risiko | Risk | ARCH-Modell | ARCH model | Schätzung | Estimation | Theorie | Theory | VAR-Modell | VAR model | Risikomanagement | Risk management | CAPM | Systemrisiko | Systemic risk | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2018.1488073 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012063386