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A Comparison of GARCH Models for VAR Estimation
Orhan, Mehmet; Köksal, Bülent - 2011
This study is an attempt to compare a comprehensive list of GARCH models in quantifying risks of VaR under stress times. We gather data of stock market indices from both emerging (Brazil and Turkey) and developed (Germany and the USA) markets, over the period of global financial crisis and make...
Persistent link: https://www.econbiz.de/10014177010
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A Comparison of GARCH Models for VAR Estimation
Orhan, Mehmet - 2011
This study is an attempt to compare a comprehensive list of GARCH Models in quantifying risks of VaR under stress times. We gather data of stock market indices from both emerging (Brazil and Turkey) and developed (Germany and the USA) markets, over the period of global financial crisis and make...
Persistent link: https://www.econbiz.de/10013120764
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Time series behavior of the Turkish exchange rate
Keskek, Sami; Orhan, Mehmet - In: Yapı Kredı economic review : quarterly publ. of … 17 (2006) 1, pp. 3-16
Persistent link: https://www.econbiz.de/10003581429
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Empirics of technology and unemployment in advanced countries
Saka, Hami; Orhan, Mehmet; Ökte, M.K. Savaş - In: Theoretical and applied economics : GAER review 28 (2021) 1/626, pp. 183-200
Persistent link: https://www.econbiz.de/10012693115