1. Estimation and performance assessment of Value-at-Risk and expected shortfall based on long-memory GARCH-class models
Title | Estimation and performance assessment of Value-at-Risk and expected shortfall based on long-memory GARCH-class models | ||||||||
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Author info | Chaker Aloui, Hela Ben Hamida | ||||||||
Author | Aloui Chaker | ||||||||
Co-authors | Hamida Hela Ben | ||||||||
Source document | Finance a úvěr : Czech journal of economics and finance. Roč. 65, č. 1 (2015), s. 30-54. - Praha : UK Praha, Fakulta sociálních věd, 2015. ISSN 0015-1920 | ||||||||
Document kind | schedule of articles from periodics | ||||||||
Language | English | ||||||||
Country of Edition | Czech Republic | ||||||||
systematics | 519.86 - Teória ekonomicko-matematických modelov | ||||||||
Keywords | modely * predvídanie * model GARCH * model Value at Risk * riziko trhové * trh akciový * volatilita | ||||||||
Annotation | Význam asymetrie a LM (long memory) v modelovaní, predvídanie podmienenej volatility a trhového rizika na akciových trhoch v regióne GCC (Gulf Cooperation Council). Rada pre spoluprácu v Perzskom zálive (GCC). Modely GARCH, ARCH. | ||||||||
Database | ARTICLES | ||||||||
References | PERIODIKÁ-Súborný záznam periodika | ||||||||
Numbers | 2015: 1-6 | ||||||||
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