Asian Pacific stock market volatility modeling and value at risk analysis

Emerging Markets Finance and Trade

Volumn 42, Issue 2, 2006, Pages 18-62

  Su, Ender ^a   Knowles, Thomas W ^b  

^a NATIONAL KAOHSIUNG UNIVERSITY OF APPLIED SCIENCES   (Taiwan)

^b ILLINOIS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Asian Pacific countries; EWMA; GARCH; Kupiec test; Markov switch; Quadratic probability score; VaR sensitivity analysis

Indexed keywords

EID: 33745664207     PISSN: 1540496X     EISSN: None     Source Type: Journal    
DOI: 10.2753/REE1540-496X420202     Document Type: Article

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