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Model Selection and Testing of Conditional and Stochastic Volatility Models

Model Selection and Testing of Conditional and Stochastic Volatility Models
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-09KIER Discussion Paper724
Available onlineOther Libraries in Japan
  • Summary, etc....h are based on Value-at-Risk forecasts. Finally, we present an empir...
  • Subject Heading...confidence set Value-at-Risk forecasts asymmetry leverage

What Happened to Risk Management During the 2008-09 Financial Crisis?

What Happened to Risk Management During the 2008-09 Financial Crisis?
Paper文書・図像類
McAleer, Michael, Juan-Angel, Jimenez-Martin and Teodosio Pérez-Amaral日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-636
Other Libraries in Japan
  • Subject Heading... risk strategy value-at-risk forecasts JEL Classifications: G32, G11...

Optimal Risk Management Before, During and After the 2008-09 Financial Crisis

Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
Paper文書・図像類
McAleer, Michael, Jimenez-Martin, Juan-Angel, Teodosio, P?rez-Amaral日本経済国際共同センター2009-09Discussion paper series. CIRJE-FCIRJE-F-667
Other Libraries in Japan
  • Subject Heading...isk strategies value-at-risk forecasts combining risk models JEL Cla...

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