Forecasting and risk management in the Vietnam Stock Exchange
Download full text from publisher
References listed on IDEAS
- David McMillan & Alan Speight & Owain Apgwilym, 2000. "Forecasting UK stock market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 435-448.
- Poterba, James M & Summers, Lawrence H, 1986.
"The Persistence of Volatility and Stock Market Fluctuations,"
American Economic Review,
American Economic Association, vol. 76(5), pages 1142-1151, December.
- James M. Poterba & Lawrence H. Summers, 1984. "The Persistence of Volatility and Stock Market Fluctuations," NBER Working Papers 1462, National Bureau of Economic Research, Inc.
- James M. Poterba & Lawrence H. Summers, 1984. "The Persistence of Volatility and Stock Market Fluctuations," Working papers 353, Massachusetts Institute of Technology (MIT), Department of Economics.
- Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011.
"Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study,"
Journal of Empirical Finance,
Elsevier, vol. 18(1), pages 147-159, January.
- Christian Conrad & Menelaos Karanasos & Ning Zeng, 2008. "Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study," Working Papers 0472, University of Heidelberg, Department of Economics, revised Jul 2008.
- Bollerslev, Tim & Ole Mikkelsen, Hans, 1996.
"Modeling and pricing long memory in stock market volatility,"
Journal of Econometrics,
Elsevier, vol. 73(1), pages 151-184, July.
- Tom Doan, "undated". "RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models," Statistical Software Components RTZ00173, Boston College Department of Economics.
- Dimson, Elroy & Marsh, Paul, 1990. "Volatility forecasting without data-snooping," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 399-421, August.
- Ling, Shiqing & McAleer, Michael, 2002.
"NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS,"
Cambridge University Press, vol. 18(03), pages 722-729, June.
- Shiqing Ling & Michael McAleer, 2001. "Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models," ISER Discussion Paper 0534, Institute of Social and Economic Research, Osaka University.
- Amélie Charles, 2008. "Forecasting volatility with outliers in GARCH models," Post-Print hal-00765466, HAL.
- Baillie, Richard T. & DeGennaro, Ramon P., 1990. "Stock Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 203-214, June.
- Richard T. Baillie & Young‐Wook Han & Robert J. Myers & Jeongseok Song, 2007. "Long memory models for daily and high frequency commodity futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(7), pages 643-668, July.
- Tse, Y. K., 1991. "Stock returns volatility in the Tokyo stock exchange," Japan and the World Economy, Elsevier, vol. 3(3), pages 285-298, November.
- repec:mes:emfitr:v:52:y:2016:i:3:p:639-657 is not listed on IDEAS
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2007. "Effects of outliers on the identification and estimation of GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 471-497, July.
- Peter Christoffersen, 2004.
"Backtesting Value-at-Risk: A Duration-Based Approach,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 2(1), pages 84-108.
- Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO.
- Richard T. Baillie & Young-Wook Han & Robert J. Myers & Jeongseok Song, 2007. "Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices," Working Papers 594, Queen Mary University of London, School of Economics and Finance.
- Carnero, M. Angeles & Peña, Daniel & Ruiz, Esther, 2012. "Estimating GARCH volatility in the presence of outliers," Economics Letters, Elsevier, vol. 114(1), pages 86-90.
- M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016.
"Identification of asymmetric conditional heteroscedasticity in the presence of outliers,"
SERIEs: Journal of the Spanish Economic Association,
Springer;Spanish Economic Association, vol. 7(1), pages 179-201, March.
- Ruiz Ortega, Esther & Carnero Fernández, María Ángeles & Pérez, Ana, 2014. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," DES - Working Papers. Statistics and Econometrics. WS ws141912, Universidad Carlos III de Madrid. Departamento de Estadística.
- McMillan, David G. & Kambouroudis, Dimos, 2009. "Are RiskMetrics forecasts good enough? Evidence from 31 stock markets," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 117-124, June.
- Riadh El Abed & Zouheir Mighri & Samir Maktouf, 2016. "Empirical analysis of asymmetries and long memory among international stock market returns: A Multivariate FIAPARCH-DCC approach," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 5(1), pages 1-1.
- Ling, Shiqing & McAleer, Michael, 2002.
"Stationarity and the existence of moments of a family of GARCH processes,"
Journal of Econometrics,
Elsevier, vol. 106(1), pages 109-117, January.
- Shiqing Ling & Michael McAleer, 2001. "Stationarity and the Existence of Moments of a Family of GARCH Processes," ISER Discussion Paper 0535, Institute of Social and Economic Research, Osaka University.
- Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
- Debbie J. Dupuis & Nicolas Papageorgiou & Bruno Rémillard, 2015. "Robust Conditional Variance and Value-at-Risk Estimation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 13(4), pages 896-921.
- Mohammad Najand, 2002. "Forecasting Stock Index Futures Price Volatility: Linear vs. Nonlinear Models," The Financial Review, Eastern Finance Association, vol. 37(1), pages 93-104, February.
- Giam Quang Do & Michael Mcaleer & Songsak Sriboonchitta, 2009. "Effects of international gold market on stock exchange volatility: evidence from asean emerging stock markets," Economics Bulletin, AccessEcon, vol. 29(2), pages 599-610.
- Cheong, Chin Wen, 2009. "Modeling and forecasting crude oil markets using ARCH-type models," Energy Policy, Elsevier, vol. 37(6), pages 2346-2355, June.
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 74(1), pages 3-30, September.
- Tom Doan, "undated". "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
- Brailsford, Timothy J. & Faff, Robert W., 1996. "An evaluation of volatility forecasting techniques," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 419-438, April.
- Awartani, Basel M.A. & Corradi, Valentina, 2005. "Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries," International Journal of Forecasting, Elsevier, vol. 21(1), pages 167-183.
- Vo, Xuan Vinh, 2016. "Does institutional ownership increase stock return volatility? Evidence from Vietnam," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 54-61.
- André Farber & Van Nam Nguyen & Quan-Hoang Vuong, 2006. "Policy impacts on Vietnam stock markets: a case of anomalies and disequilibria 2000-2006," Working Papers CEB 06-005.RS, ULB -- Universite Libre de Bruxelles.
- Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2012. "Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 738-757.
- Baillie, Richard T. & Geoffrey Booth, G. & Tse, Yiuman & Zabotina, Tatyana, 2002. "Price discovery and common factor models," Journal of Financial Markets, Elsevier, vol. 5(3), pages 309-321, July.
- Hyun J. Jin & Darren L. Frechette, 2004. "Fractional Integration in Agricultural Futures Price Volatilities," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(2), pages 432-443.
- Sang Hoon Kang & SEONG-MIN YOON, 2008. "Asymmetry and Long Memory Features in Volatility: Evidence From Korean Stock Market," Korean Economic Review, Korean Economic Association, vol. 24, pages 383-412.
- Farhat Iqbal & Kanchan Mukherjee, 2012. "A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(5), pages 377-390, August.
- Amélie Charles, 2008. "Forecasting volatility with outliers in GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 551-565.
More about this item
KeywordsVietnam Stock exchange; volatility; GARCH models; Value-at-Risk.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2018-01-29 (All new papers)
- NEP-FMK-2018-01-29 (Financial Markets)
- NEP-FOR-2018-01-29 (Forecasting)
- NEP-RMG-2018-01-29 (Risk Management)
- NEP-SEA-2018-01-29 (South East Asia)
- NEP-TRA-2018-01-29 (Transition Economics)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:halshs-01679456. 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: (CCSD). General contact details of provider: https://hal.archives-ouvertes.fr/ .