The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey
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- Atilla Çifter & Alper Özün, 2007. "The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 1(1), pages 7-34.
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- Cifter, Atilla, 2012. "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 127-142, June.
More about this item
KeywordsGarch; Asymmetric Normal Mixture Garch; Kupiec Test; Christoffersen Test; Emerging markets;
- G00 - Financial Economics - - General - - - General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-09 (All new papers)
- NEP-CWA-2007-04-09 (Central & Western Asia)
- NEP-ETS-2007-04-09 (Econometric Time Series)
- NEP-FOR-2007-04-09 (Forecasting)
- NEP-RMG-2007-04-09 (Risk Management)
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