مرکز منطقه ای اطلاع رساني علوم و فناوري - Empirical analysis of GARCH models in value at risk estimation

Title of article :

Empirical analysis of GARCH models in value at risk estimation

Author/Authors :

Mike K.P. So، نويسنده , , Philip L.H. Yu، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

180

To page :

197

Keywords :

GARCH model , Long memory , Market risk

Journal title :

Journal of International Financial Markets, Institutions and Money

Serial Year :

2006

Journal title :

Journal of International Financial Markets, Institutions and Money

Record number :

189750

Link To Document :