Time series analysis for financial market meltdowns
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- Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2011. "Time series analysis for financial market meltdowns," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1879-1891, August.
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More about this item
KeywordsARMA-GARCH model; »-stable distribution; tempered stable distribution; value-at-risk (VaR); average value-at-risk (AVaR);
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BAN-2010-10-02 (Banking)
- NEP-CBA-2010-10-02 (Central Banking)
- NEP-FOR-2010-10-02 (Forecasting)
- NEP-RMG-2010-10-02 (Risk Management)
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