Market risk valuation modeling for the European countries at the financial crisis of 2008
AbstractThe work is dedicated to VaR models, estimated on the equities quotes of the six European countries. The time series cover three economic periods — pre crisis, crisis and post crisis, where the crisis period is the financial crunch of the 2008 year. The volatility estimation is based on the four APARCH(1,1) models and six distribution functions. The results of the investigation show the connection of the model with country's economic development and its financial condition at the different periods of time.
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Bibliographic InfoArticle provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.
Volume (Year): 27 (2012)
Issue (Month): 3 ()
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Web page: http://appliedeconometrics.cemi.rssi.ru/
VaR; APARCH; market risk; financial crisis 2008;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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