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A Comparison of GARCH Models for VAR Estimation
Language: en
Pages: 0
Authors: Mehmet Orhan
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Type: BOOK - Published: 2011 - Publisher:

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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
Empirical Comparison of Multivariate GARCH Models for Estimation of Intraday Value at Risk
Language: en
Pages: 41
Authors: Takayuki Morimoto
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Type: BOOK - Published: 2008 - Publisher:

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An empirical comparison of forecasting performance is undertaken for multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models in th
Measuring Market Risk
Language: en
Pages: 395
Authors: Kevin Dowd
Categories: Business & Economics
Type: BOOK - Published: 2003-02-28 - Publisher: John Wiley & Sons

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The most up-to-date resource on market risk methodologies Financial professionals in both the front and back office require an understanding of market risk and
Financial Econometrics Using Stata
Language: en
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Authors: Simona Boffelli
Categories: Finance
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Financial Econometrics Using Stata is an essential reference for graduate students, researchers, and practitioners who use Stata to perform intermediate or adva
Financial Risk Management with Bayesian Estimation of GARCH Models
Language: en
Pages: 206
Authors: David Ardia
Categories: Business & Economics
Type: BOOK - Published: 2008-05-08 - Publisher: Springer Science & Business Media

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This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essent