Asymmetric Volatility Effects in Risk Management: An Empirical Analysis using a Stock Index Futures
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More about this item
KeywordsAsymmetric volatility; Backtesting; GARCH; TARCH; Implied volatility; Stock index futures; Value at Risk; Mexico;
All these keywords.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ETS-2020-10-19 (Econometric Time Series)
- NEP-FMK-2020-10-19 (Financial Markets)
- NEP-ORE-2020-10-19 (Operations Research)
- NEP-RMG-2020-10-19 (Risk Management)
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