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  • Search: person:"Elenjical, Timmy"
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ARCH model 1 ARCH-Modell 1 Börsenhandel 1 Capital income 1 Johannesburg stock exchange 1 Kapitaleinkommen 1 Kupiec test 1 Portfolio selection 1 Portfolio-Management 1 Risikomanagement 1 Risikomaß 1 Risk management 1 Risk measure 1 South Africa 1 Stock exchange trading 1 Südafrika 1 conditional variance 1 dynamic quantile test 1 market regimes 1 risk management 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Elenjical, Timmy 1 Huang, Chun-Sung 1 Mwangi, Patrick 1 Panulo, Barry 1
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Risk management : a journal of risk, crisis and disaster 1
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ECONIS (ZBW) 1
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A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models : evidence from the Johannesburg stock exchange
Elenjical, Timmy; Mwangi, Patrick; Panulo, Barry; … - In: Risk management : a journal of risk, crisis and disaster 18 (2016) 2/3, pp. 89-110
Persistent link: https://www.econbiz.de/10011537385
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