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Volatility and VaR forecasting in the Madrid Stock Exchange

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  • Trino-Manuel Ñíguez

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  • Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(3), pages 169-196, September.
  • Handle: RePEc:spr:specre:v:10:y:2008:i:3:p:169-196
    DOI: 10.1007/s10108-007-9030-6
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    References listed on IDEAS

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    Cited by:

    1. Abad, Pilar & Benito, Sonia, 2013. "A detailed comparison of value at risk estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 258-276.

    More about this item

    Keywords

    FIAPARCH; Heavy-tailed distributions; Leverage effect; Long memory; VaR; C32; C52; C53; G15;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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