Value-at-Risk for Greek Stocks
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Cited by:
- Chlebus Marcin, 2017.
"EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk,"
Central European Economic Journal, Sciendo, vol. 3(50), pages 01-25, December.
- Marcin Chlebus, 2016. "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Working Papers 2016-06, Faculty of Economic Sciences, University of Warsaw.
- Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007.
"A robust VaR model under different time periods and weighting schemes,"
Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February.
- Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2007. "A Robust VaR Model under Different Time Periods and Weighting Schemes," MPRA Paper 80466, University Library of Munich, Germany.
- Anna Rutkowska-Ziarko & Kamila Sobieska, 2016. "Ryzyko kwantylowe wybranych otwartych akcyjnych funduszy inwestycyjnych," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 40, pages 491-502.
- Degiannakis, Stavros & Floros, Christos & Livada, Alexandra, 2012. "Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence," MPRA Paper 80463, University Library of Munich, Germany.
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More about this item
Keywords
value-at-risk; GARCH; historical simulation; backtesting;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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