Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails
Hatice Gaye Gencer and Sercan Demiralay
| Year of publication: |
2016
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|---|---|
| Authors: | Gencer, Hatice Gaye ; Demiralay, Sercan |
| Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 52.2016, 1/3, p. 639-657
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| Subject: | emerging stock markets | GARCH models | Value-at-Risk | long memory | Kupiec test | Dynamic Quantile test | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Volatilität | Volatility | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Schwellenländer | Emerging economies | Prognoseverfahren | Forecasting model | Statistischer Test | Statistical test | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | VAR-Modell | VAR model |