Nwogugu, Michael - In: Journal of Risk Finance 6 (2005) May, pp. 267-274
Purpose – The purposes of this article are to evaluate models of stock market risk developed by Robert Engle, and related models (ARCH, GARCH, VAR, etc.); to establish whether prospect theory, cumulative prospect theory, expected utility theory, and market-risk models (ARCH, GARCH, VAR, etc.)...