Search Results - subject:"Generalized Autoregressive Conditional Heteroscedasticity (GARCH)"

Testing value-at-risk models in emerging markets during crises : a case study on South Eastern European countries

Radivojevic, Nikola; Curcic, Nikola; Milojkovic, Dragana; … - In: The journal of risk model validation 10 (2016) 2, pp. 57-81

Persistent link: https://www.econbiz.de/10011527481

Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis

Abad, Pilar; Benito Muela, Sonia; López-Martín, Carmen; … - In: Journal of risk 18 (2016) 5, pp. 1-28

Persistent link: https://www.econbiz.de/10011598265

The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010 : evidence from South Africa

Bonga-Bonga, Lumengo; Umoetok, Ekerete - In: Applied economics 48 (2016) 40/42, pp. 3999-4018

Persistent link: https://www.econbiz.de/10011639941

Exchange rate volatilities and disaggregated bilateral exports of Malaysia to the United States : empirical evidence

Wong, Hock Tsen - In: Eurasian economic review : a journal in applied … 6 (2016) 2, pp. 289-314

Persistent link: https://www.econbiz.de/10011587644

Tempered stable models for Islamic finance asset management

Bekri, Mahmoud; Kim, Young Shin; Račev, Svetlozar T. - In: International journal of Islamic and Middle Eastern … 7 (2014) 1, pp. 37-60

Persistent link: https://www.econbiz.de/10011335135

A note on adaptation in garch models

Gonzalez-Rivera, Gloria - In: Econometric Reviews 16 (1997) 1, pp. 55-68

In the framework of the Engle-type (G)ARCH models, I demonstrate that there is a family of symmetric and asymmetric density functions for which the asymptotic efficiency of the semiparametric estimator is equal to the asymptotic efficiency of the maximum likelihood estimator. This family of...

Persistent link: https://www.econbiz.de/10005644409