Do Power GARCH models really improve value-at-risk forecasts?
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DOI: 10.1007/BF02761579
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Cited by:
- Ergün, A. Tolga & Jun, Jongbyung, 2010. "Time-varying higher-order conditional moments and forecasting intraday VaR and Expected Shortfall," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 264-272, August.
- Nidhi Choudhary & Girish K. Nair & Harsh Purohit, 2015. "Volatility In Copper Prices In India," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-26, December.
- Erie Febrian & Aldrin Herwany, 2009.
"Liquidity Measurement Based on Bid-Ask Spread, Trading Frequency, and Liquidity Ratio: The Use of GARCH Model on Jakarta Stock Exchange (JSX),"
Working Papers in Economics and Development Studies (WoPEDS)
200910, Department of Economics, Padjadjaran University, revised Sep 2009.
- Erie Febrian & Aldrin Herwany, 2010. "Liquidity Measurement Based on Bid-Ask Spread, Trading Frequency, and Liquidity Ratio: The Use of GARCH Model on Jakarta Stock Exchange (JSX)," Working Papers in Business, Management and Finance 201003, Department of Management and Business, Padjadjaran University, revised Mar 2010.
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