Empirical analysis of GARCH models in value at risk estimation

Journal of International Financial Markets, Institutions and Money

Volumn 16, Issue 2, 2006, Pages 180-197

  So, Mike K P ^a   Yu, Philip L H ^b  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

GARCH model; Long memory; Market risk

Indexed keywords

EID: 33644795306     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2005.02.001     Document Type: Article

References (24)

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