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.
Volume (Year): 18 (2011)
Issue (Month): 6 ()
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