Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Degiannakis, Stavros & Potamia, Artemis, 2017.
"Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data,"
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- Kasilingam Lingaraja & Murugesan Selvam & Vinayagamoorthi Vasanth & Ramachandran Rajesh Ramkumar, 2015. "Long-run Overseas Portfolio Diversification Benefits and Opportunities of Asian Emerging Stock Markets and Developed Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 324-333.
- repec:eee:riibaf:v:44:y:2018:i:c:p:359-368 is not listed on IDEAS
- repec:eee:ecmode:v:66:y:2017:i:c:p:233-243 is not listed on IDEAS
More about this item
KeywordsValue at risk; Exponential GARCH model; Generalized t; Spillover effect; Stock market; Currency market; Developed market; Emerging market;
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