Time series analysis for financial market meltdowns

Journal of Banking and Finance

Volumn 35, Issue 8, 2011, Pages 1879-1891

  Kim, Young Shin ^a   Rachev, Svetlozar T ^a,b,d   Bianchi, Michele Leonardo ^c   Mitov, Ivan ^d   Fabozzi, Frank J ^e  

^a UNIVERSITY OF KARLSRUHE   (Germany)

^b Stony Brook University   (United States)

^c Specialized Intermediaries Supervision Department   (Italy)

^d FinAnalytica Inc   (United States)

^e YALE SCHOOL OF MANAGEMENT   (United States)

Author keywords

stable distribution; ARMA GARCH model; Average value at risk (AVaR); Tempered stable distribution; Value at risk (VaR)

Indexed keywords

EID: 79957605668     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2010.12.007     Document Type: Article

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