Comparing estimates of risk between markets and telecommunications institutions in Europe
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 18 (2011)
Issue (Month): 6 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|
When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:18:y:2011:i:6:p:575-579. 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: (Michael McNulty)
If references are entirely missing, you can add them using this form.