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

Níguez, Trino Manuel (2002) Volatility and VaR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria. In: XXVII Symposium of the Economic Analysis, 12-14 Dec 2002, Salamanca, Spain. (Submitted)

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Item Type: Conference or Workshop Item (Paper)
Subjects: University of Westminster > Westminster Business School
Depositing User: Users 4 not found.
Date Deposited: 21 Sep 2005
Last Modified: 01 Nov 2012 15:39
URI: http://westminsterresearch.wmin.ac.uk/id/eprint/737

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