Value-at-Risk on Central and Eastern European Stock Markets: An Empirical Investigation Using GARCH Models
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KeywordsValue-at-Risk; Expected Shortfall; Backtesting;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- 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
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-20 (All new papers)
- NEP-EEC-2008-09-20 (European Economics)
- NEP-FMK-2008-09-20 (Financial Markets)
- NEP-RMG-2008-09-20 (Risk Management)
- NEP-TRA-2008-09-20 (Transition Economics)
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