EWS-GARCH: New Regime Switching Approach to Forecast Value-At-Risk

Central European Economic Journal
doi 10.1515/ceej-2017-0014
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Walter de Gruyter GmbH

Related search

Improving GARCH Volatility Forecasts With Regime-Switching GARCH

2002English

Analytical Value-At-Risk and Expected Shortfall Under Regime-Switching

Finance Research Letters
Finance
2009English

Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models

Quantitative Finance
EconomicsEconometricsFinance
2009English

Penerapan Metode GARCH-Vine Copula Untuk Estimasi Value at Risk (VaR) Pada Portofolio

Jurnal Fourier
2018English

Risk Seeking, Nonconvex Remuneration and Regime Switching

International Journal of Theoretical and Applied Finance
EconomicsEconometricsFinance
2015English

Real Options With Priced Regime-Switching Risk

International Journal of Theoretical and Applied Finance
EconomicsEconometricsFinance
2013English

Evaluating Currency Crises: A Multivariate Markov Regime Switching Approach*

Manchester School
EconomicsEconometrics
2012English

Long Memory With Markov-Switching GARCH

Economics Letters
EconomicsFinanceEconometrics
2008English

Pricing and Hedging Contingent Claims With Regime Switching Risk

Communications in Mathematical Sciences
MathematicsApplied Mathematics
2011English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2025 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy