Stock Market Risk-Return Inference. An Unconditional, Non-Parametric Approach.-Reference-Cited by-同舟云学术

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Stock Market Risk-Return Inference. An Unconditional, Non-Parametric Approach.

Published:2003 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Mikosch Thomas,Starica Catalin

Publisher

Elsevier BV

Reference50 articles.

1. Probabilistic and statistical properties of GARCH processes;I Berkes;Bernoulli,2003

2. Generalized autoregressive conditional heteroskedasticity;T Bollerslev;J. Econometrics,1986

3. GARCH models;T Bollerslev;Handbook of Econometrics,1994

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3. Challenging Traditional Risk Models by a Non-Stationary Approach with Nonparametric Heteroscedasticity;SSRN Electronic Journal;2012

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5. Shortcomings of a Parametric VaR Approach and Nonparametric Improvements Based on a Non-Stationary Return Series Model;SSRN Electronic Journal;2009

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