A GARCH DYNAMIC CONDITIONAL CORRELATION MODEL FOR THE COMPUTATION OF DYNAMIC VAR ON THE ROMANIAN CAPITAL MARKET

被引：0

作者：

Miclaus, Paul Gabriel ^{[1
]}

Bobirca, Ana ^{[1
]}

Lupu, Radu ^{[1
]}

Ungureanu, Stefan ^{[1
]}

机构：

[1] Acad Econ Studies, Bucharest, Romania

来源：

INTEGRATIVE RELATIONS BETWEEN THE EUROPEAN UNION INSTITUTIONS AND THE MEMBER STATES, VOL 3 | 2008年

关键词：

Dynamic VaR; GARCH; GARCH Dynamic Conditional Correlations; Romanian Capital Market;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Basel II Recommendations concerning internal rating based models approach for financial institutions and the success of RiskMetrics made Value-at-Risk (VaR) the most important risk measurement instrument at international level. The objective of this paper is to address the problem of adapting this method to the statistical properties of the returns for the Romanian Capital Market. We analyze the properties of the SIFs returns and present possible calculations for a VaR that takes into account the presented features.

引用

页码：235 / 240

页数：6

共 50 条

[1] Clustered dynamic conditional correlation multivariate GARCH model
Zhou, Tu
Chan, Laiwan
[J]. DATA WAREHOUSING AND KNOWLEDGE DISCOVERY, PROCEEDINGS, 2008, 5182 : 206 - 216
[2] The Study on Dynamic Conditional Correlation-GARCH Model and its Application
Li, Ziyu
Naka, Atsuyuki
[J]. BIO-INSPIRED COMPUTING - THEORIES AND APPLICATIONS, BIC-TA 2015, 2015, 562 : 242 - 248
[3] Risk perception and cost of capital in emerging market projects using dynamic conditional correlation model
Afzal, Farman
Shehzad, Ayesha
Rehman, Hafiz Muhammad
Afzal, Fahim
Mukit, Mohammad Mushfiqul Haque Mushfiqul Haque
[J]. INTERNATIONAL JOURNAL OF ISLAMIC AND MIDDLE EASTERN FINANCE AND MANAGEMENT, 2023, 16 (02) : 253 - 273
[4] Robust forecasting of dynamic conditional correlation GARCH models
Boudt, Kris
Danielsson, Jon
Laurent, Sebastien
[J]. INTERNATIONAL JOURNAL OF FORECASTING, 2013, 29 (02) : 244 - 257
[5] Anticipating correlations between EUAs and CERs: a Dynamic Conditional Correlation GARCH model
Chevallier, Julien
[J]. ECONOMICS BULLETIN, 2011, 31 (01): : 255 - 272
[6] Copula-GARCH versus dynamic conditional correlation: An empirical study on VaR and ES forecasting accuracy
Weiß G.N.F.
[J]. Review of Quantitative Finance and Accounting, 2013, 41 (2) : 179 - 202
[7] The comovement between output and prices: Evidence from a dynamic conditional correlation GARCH model
Lee, J
[J]. ECONOMICS LETTERS, 2006, 91 (01) : 110 - 116
[8] Dynamic conditional eigenvalue GARCH
Hetland, Simon
Pedersen, Rasmus Sondergaard
Rahbek, Anders
[J]. JOURNAL OF ECONOMETRICS, 2023, 237 (02)
[9] A Dynamic Computing Research for Value at Risk (VaR) of Shanghai Stock Market Based on the GARCH Model
Xia, Shi
[J]. EMERGING COMPUTATION AND INFORMATION TECHNOLOGIES FOR EDUCATION, 2012, 146 : 299 - 308
[10] A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
Audrino, Francesco
Trojani, Fabio
[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2011, 29 (01) : 138 - 149

← 1 2 3 4 5 →