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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 (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)
Research Community:University of Westminster > Westminster Business School
ID Code:737
Deposited On:21 Sep 2005
Last Modified:01 Nov 2012 15:39

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