Pages that link to "Item:Q3574728"

The following pages link to Markov-Switching GARCH Modelling of Value-at-Risk (Q3574728):

Displaying 16 items.

• Term structure of risk under alternative econometric specifications (Q292020) (← links)
• Practical implications of higher moments in risk management (Q413990) (← links)
• Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach (Q507996) (← links)
• A high-order Markov-switching model for risk measurement (Q980081) (← links)
• Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure (Q1703024) (← links)
• Model selection based on value-at-risk backtesting approach for GARCH-type models (Q2190298) (← links)
• Research on the value at risk of basis for stock index futures hedging in China based on two-state Markov process and semiparametric RS-GARCH model (Q2296591) (← links)
• The use of GARCH models in VaR estimation (Q2485471) (← links)
• Estimating value-at-risk for Chinese stock market by switching regime ARCH model (Q2494605) (← links)
• Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models (Q2629585) (← links)
• Forecasting market risk using ultra-high-frequency data and scaling laws (Q4619546) (← links)
• The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models (Q4687640) (← links)
• Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model (Q4914961) (← links)
• Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation (Q5049444) (← links)
• A new approach to Value-at-Risk: GARCH-TSLx model with inference (Q5083929) (← links)
• A value-at-risk analysis of carry trades using skew-GARCH models (Q5881703) (← links)