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Comparing estimates of risk between markets and telecommunications institutions in Europe

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  • Christos Agiakloglou
  • Konstantinos Bloutsos
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    Abstract

    We examine and evaluate the concept of risk for the financial market of telecommunications in Europe using the Value-at-Risk (VaR) method. In particular, we compare the estimates of risk between stock market indices and stock prices of telecommunications institutions in Europe. The estimates of risk are obtained as a one-step-ahead forecast using AutoRegressive Integrated Moving Average (ARIMA) analysis with Generalized AutoRegressive Conditional Heteroscedastic (GARCH) errors.

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 18 (2011)
    Issue (Month): 6 ()
    Pages: 575-579

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    Handle: RePEc:taf:apeclt:v:18:y:2011:i:6:p:575-579

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    Related research

    Keywords: value-at- risk method; ARIMA analysis; GARCH models; telecommunications market;

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    Cited by:
    1. Agiakloglou, Christos & Gkouvakis, Michalis, 2012. "Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector," 23rd European Regional ITS Conference, Vienna 2012 60387, International Telecommunications Society (ITS).

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