Volatility and VaR forecasting for the IBEX-35 stock-return index using figarch-type processes and different evaluation criteria

Níguez, Trino Manuel (2003) Volatility and VaR forecasting for the IBEX-35 stock-return index using figarch-type processes and different evaluation criteria. Working Paper. Instituto Valenciano de Investigaciones Económicas, Valencia, Spain.

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Official URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-20...
Item Type: Monograph (Working Paper)
Subjects: University of Westminster > Westminster Business School
Depositing User: Miss Nina Watts
Date Deposited: 13 Dec 2006
Last Modified: 01 Nov 2012 15:38
URI: http://westminsterresearch.wmin.ac.uk/id/eprint/2840

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