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Analysis of Financial Risks in a GARCH Framework

Author

Listed:
  • Ahlstedt, M.

Abstract

This study uses GARCH modelling to estimate and forecast conditional variances and covariances of returns calculated from a set of financial market series: twelve markka exchange rates, twelve corresponding short-term euro interest rates and the Finnish short-term interest rate, the Finnish long-term interest rate, the Finnish all-share index and real estate prices.

Suggested Citation

  • Ahlstedt, M., 1998. "Analysis of Financial Risks in a GARCH Framework," University of Helsinki, Department of Economics e:11, Department of Economics.
    • Handle: RePEc:fth:helsec:e:11
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    Citations

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    Cited by:

    1. Erlandsson, Ulf, 2002. "Regime Switches in Swedish Interest Rates," Working Papers 2002:5, Lund University, Department of Economics, revised 04 Mar 2005.
    2. Juan Pi??eiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan.

    More about this item

    Keywords

    ESTIMATOR ; ECONOMIC MODELS ; FINANCIAL MARKET ; RISK;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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