Value at Risk of the main stock market indexes in the European Union (2000–2012)
Year of publication: |
2015
|
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Authors: | Iglesias, Emma M. |
Published in: |
Journal of Policy Modeling. - Elsevier, ISSN 0161-8938. - Vol. 37.2015, 1, p. 1-13
|
Publisher: |
Elsevier |
Subject: | Value-at-Risk | Extreme value theory | Heavy tails | Stock market indexes | Eurozone |
Type of publication: | Article |
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Classification: | C12 - Hypothesis Testing ; C13 - Estimation ; C22 - Time-Series Models ; G01 - Financial Crises ; G11 - Portfolio Choice ; G15 - International Financial Markets ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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Estimation of tail thickness parameters from GJR-GARCH models
Iglesias, Emma M., (2009)
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Value at risk of the main stock market indexes in the European Union ; (2000 - 2012)
Iglesias, Emma M., (2015)
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Measurement of extreme market risk : insights from a comprehensive literature review
Chakraborty, Gourab, (2021)
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ASSESSING LONG‐RUN MONEY NEUTRALITY IN MONETARY UNIONS
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The bias to order T-Â 2 for the general k-class estimator in a simultaneous equation model
Iglesias, Emma M., (2010)
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Almost Unbiased Estimation in Simultaneous Equations Models with Strong and / or Weak Instruments
Iglesias, Emma M., (2011)
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