Long memory in stock index futures markets: A value-at-risk approach

Physica A: Statistical Mechanics and its Applications

Volumn 366, Issue , 2006, Pages 437-448

  Tang, Ta Lun ^a   Shieh, Shwu Jane ^a  

^a NATIONAL CHENGCHI UNIVERSITY   (Taiwan)

Author keywords

FIGARCH; HYGARCH; Kupiec LR test; Value at risk

Indexed keywords

COSTS; MARKETING; MATHEMATICAL MODELS; RISK ASSESSMENT; VALUE ENGINEERING;

FIGARCH; HYGARCH; KUPIEC LR TEST; VALUE-AT-RISK;

INVENTORY CONTROL;

EID: 33646183671     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.10.017     Document Type: Article

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