Lupu, Radu; Calin, Adrian Cantemir; Lupu, Iulian; … - In: Hyperion Economic Journal 2 (2014) 3, pp. 3-12
This article studies the convergence of risk on a sample of 13 European indexes. We use a set of 31 model specifications of a significant number of models belonging to the GARCH class and on their estimates we build an aggregate index in a Value-at-Risk approach. We use this index as a base for...
