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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)
Research Community:University of Westminster > Westminster Business School
ID Code:2840
Deposited On:13 Dec 2006
Last Modified:01 Nov 2012 15:38

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