Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market

Economic Modelling

Volumn 46, Issue , 2015, Pages 204-224

  Su, Jung Bin ^a  

^a CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Taiwan)

Author keywords

Currency market; Developed market; Emerging market; Exponential GARCH model; Generalized t; Spillover effect; Stock market; Value at risk

Indexed keywords

EID: 84921512330     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2014.12.022     Document Type: Article

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