Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence
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- Stavros Degiannakis & Christos Floros & Alexandra Livada, 2012. "Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence," Managerial Finance, Emerald Group Publishing, vol. 38(4), pages 436-452, March.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Degiannakis, Stavros & Floros, Christos, 2013.
"Modeling CAC40 volatility using ultra-high frequency data,"
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More about this item
KeywordsARCH; Value-at-Risk; Volatility; Forecasting; Financial Crisis;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- 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
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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