Volatility Model for Financial Market Risk Management : An Analysis on JSX Index Return Covariance Matrix
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Other versions of this item:
- Erie Febrian & Aldrin Herwany, 2010. "Volatility Model for Financial Market Risk Management : An Analysis on JSX Index Return Covariance Matrix," Working Papers in Business, Management and Finance 201004, Department of Management and Business, Padjadjaran University, revised Apr 2010.
References listed on IDEAS
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Aggarwal, Reena & Inclan, Carla & Leal, Ricardo, 1999. "Volatility in Emerging Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 33-55, March.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
More about this item
KeywordsRisk Management; Volatility Model;
- G0 - Financial Economics - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-19 (All new papers)
- NEP-FMK-2009-09-19 (Financial Markets)
- NEP-RMG-2009-09-19 (Risk Management)
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