Heavy-tailed value-at-risk analysis for Malaysian stock exchange
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Loretan, Mico & Phillips, Peter C. B., 1994.
"Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets,"
Journal of Empirical Finance,
Elsevier, vol. 1(2), pages 211-248, January.
- Loretan, M. & Phillips, P.C.B., 1992. "Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets," Working papers 9208, Wisconsin Madison - Social Systems.
- Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
- Robert Engle, 2004.
"Risk and Volatility: Econometric Models and Financial Practice,"
American Economic Review,
American Economic Association, vol. 94(3), pages 405-420, June.
- Engle III, Robert F., 2003. "Risk and Volatility: Econometric Models and Financial Practice," Nobel Prize in Economics documents 2003-4, Nobel Prize Committee.
- Miller, Merton H & Muthuswamy, Jayaram & Whaley, Robert E, 1994. " Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage-Induced or Statistical Illusion?," Journal of Finance, American Finance Association, vol. 49(2), pages 479-513, June.
- Wen Cheong, Chin & Hassan Shaari Mohd Nor, Abu & Isa, Zaidi, 2007. "Asymmetry and long-memory volatility: Some empirical evidence using GARCH," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 651-664.
- Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
- Beran, Jan & Ocker, Dirk, 2001. "Volatility of Stock-Market Indexes--An Analysis Based on SEMIFAR Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 103-116, January.
- Hall, Peter, 1990. "Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 177-203, February.
- McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
- Engle, Robert F & Ng, Victor K, 1993.
" Measuring and Testing the Impact of News on Volatility,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1749-1778, December.
- Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Urrutia, Jorge L, 1995. "Tests of Random Walk and Market Efficiency for Latin American Emerging Equity Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(3), pages 299-309, Fall.
- Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "Semi-nonparametric VaR forecasts for hedge funds during the recent crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 330-343.
- Stavros Degiannakis & Christos Floros & Alexandra Livada, 2012. "Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence," Managerial Finance, Emerald Group Publishing, vol. 38(3), pages 436-452, March.
- Stavros Degiannakis & Christos Floros & Alexandra Livada, 2012.
"Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence,"
Emerald Group Publishing, vol. 38(4), pages 436-452, March.
- 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.
- Cheng-Few Lee & Jung-Bin Su, 2012. "Alternative statistical distributions for estimating value-at-risk: theory and evidence," Review of Quantitative Finance and Accounting, Springer, vol. 39(3), pages 309-331, October.
- Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Long memory volatility in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1425-1433.
More about this item
KeywordsValue-at-risk; Heavy-tail distribution; ARCH models; Financial time series;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:387:y:2008:i:16:p:4285-4298. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .