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Are the Basel II requirements justified in the presence of structural breaks?

Sjölander, Pär - In: Applied financial economics 19 (2009) 10/12, pp. 985-998

The Basel Accord and the Swedish regulatory authority Finansinspektionen stipulate that banks and securities firms are obliged to estimate their Internal Risk Management Models (IRMMs) based on a minimum time series estimation period length of 1 year back in time. In this article, the Minimum...

Persistent link: https://www.econbiz.de/10003856891

A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances

Sjölander, Pär - In: Applied financial economics 18 (2008) 7/9, pp. 527-558

Persistent link: https://www.econbiz.de/10003739218

A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances

Sjölander, Pär - In: Applied financial economics 18 (2008) 7-9, pp. 527-558

Persistent link: https://www.econbiz.de/10008070703

A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances

Sjölander, Pär - In: Applied financial economics 18 (2008) 7, pp. 527-558

Persistent link: https://www.econbiz.de/10007994259