Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures

ISSN： 0747-4938

Source： Econometric Reviews, Vol.28, Iss.1-3, 2009-01, pp. : 146-169

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Stock market reaction to food recalls: a GARCH application

By Wang Zijun Salin Victoria Hooker Neal H. Leatham David

Applied Economics Letters, Vol. 9, Iss. 15, 2002-12 ,pp. : 979-987

Routledge Ltd

Access to resources Recommend Favorite

Neural networks and their application in credit risk assessment. Evidence from the Romanian market

By Cimpoeru Smaranda Stoenescu

Technological and Economic Development of Economy, Vol. 17, Iss. 3, 2011-09 ,pp. : 519-534

Taylor & Francis Ltd

Access to resources Recommend Favorite

Forecasting stock market volatility with non-linear GARCH models: a case for China

By Wei Weixian

Applied Economics Letters, Vol. 9, Iss. 3, 2002-02 ,pp. : 163-166

Routledge Ltd

Access to resources Recommend Favorite

Dynamics of Unemployment Insurance Claims: An Application of ARIMA-GARCH Models

By Mohammadi Hassan Rich Daniel

Atlantic Economic Journal, Vol. 41, Iss. 4, 2013-12 ,pp. : 413-425

Springer Publishing Company

Access to resources Recommend Favorite

Agricultural liberalization policy and commodity price volatility: a GARCH application

By Yang Jian Haigh Michael S. Leatham David J.

Applied Economics Letters, Vol. 8, Iss. 9, 2001-09 ,pp. : 593-598

Routledge Ltd

Access to resources Recommend Favorite