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  • Search: subject:"APARCH models"
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Year of publication
Subject
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APARCH models 1 ARCH model 1 ARCH-Modell 1 Brasilien 1 Brazil 1 EGARCH and APARCH models 1 Estimation 1 Exchange rate 1 GARCH 1 Schock 1 Schätzung 1 Shock 1 Theorie 1 Theory 1 Value-at-Risk 1 Volatility 1 Volatilität 1 Wechselkurs 1 modelling exchange rate variations 1 risk management 1 skewed Student distribution 1
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Online availability
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Free 2
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2
Author
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Diamandis, Panayiotis 1 Kouretas, Georgios 1 Kutu, Adebayo Augustine 1 Ngalawa, Harold 1 Zarangas, Leonidas 1
Institution
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Department of Economics, University of Crete 1
Published in...
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Working Papers / Department of Economics, University of Crete 1 Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Modelling exchange rate variations and global shocks in Brazil
Ngalawa, Harold; Kutu, Adebayo Augustine - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 35 (2017) 1, pp. 73-95
Persistent link: https://www.econbiz.de/10012211655
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Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange
Diamandis, Panayiotis; Kouretas, Georgios; Zarangas, … - Department of Economics, University of Crete - 2006
This paper provides Value-at-Risk estimates for daily stock returns with the application of various parametric univariate models that belong to the class of ARCH models which are based on the skewed Student distribution. We use daily data for three stock indexes of the Athens Stock Exchange...
Persistent link: https://www.econbiz.de/10004994338
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