The Use of GARCH Models in VaR Estimation
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References listed on IDEAS
- Jensen, Michael C, 1986. "Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers," American Economic Review, American Economic Association, vol. 76(2), pages 323-329, May.
- Hossein Asgharian, 2003. "Are highly leveraged firms more sensitive to an economic downturn?," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 219-241.
- Klevmarken, N. Anders, 1989. "Introduction," European Economic Review, Elsevier, vol. 33(2-3), pages 523-529, March.
More about this item
KeywordsValue at Risk; GARCH estimation; Backtesting; Volatility forecasting; Quantile Loss Function.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-28 (All new papers)
- NEP-ECM-2010-03-28 (Econometrics)
- NEP-ETS-2010-03-28 (Econometric Time Series)
- NEP-FOR-2010-03-28 (Forecasting)
- NEP-RMG-2010-03-28 (Risk Management)
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