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Empirical analysis of GARCH models in value at risk estimation
Mike K. P. SO,
Leung Ho Philip YU
Department of Mathematics and Information Technology (MIT)
Research output
:
Contribution to journal
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Articles
›
peer-review
103
Citations (Scopus)
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Keyphrases
Conditional Value at Risk
100%
Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
100%
Value-at-risk Estimation
100%
Error Model
50%
Short Position
50%
Risk Metrics
50%
Copyright
25%
Confidence Level
25%
Risk Estimation
25%
Fat Tails
25%
Data Market
25%
Long Memory
25%
Return Series
25%
Market Index
25%
Fractionally Integrated
25%
Asymmetric Behavior
25%
Exchange Rate Data
25%
Normal Error
25%
Foreign Exchange Rate
25%
Fat-tailed Distribution
25%
Long-memory Properties
25%
Engineering
Confidence Level
100%
Rate Data
100%
Risk Estimate
100%
Mathematics
Value at Risk
100%
GARCH Model
100%
Stock Market
16%
Asymmetric
16%
Confidence Level
16%
Tailed Distribution
16%
Memory Property
16%
Economics, Econometrics and Finance
ARCH Model
100%
Exchange Rate
50%