VaR of SSE returns Based on Bayesian Markov-Switching GARCH Approach
Author:
Affiliation:
1. Chiang Mai University, Chiang Mai, Thailand
Publisher
ACM Press
Reference10 articles.
1. Nelson D. Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica. 1991;59(2):347.
2. Glosten L, Jagannathan R, Runkle D. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance. 1993;48(5):1779.
3. Ang A, Timmermann A. Regime Changes and Financial Markets. SSRN Electronic Journal. 2011.
4. Marcucci J. Forecasting Stock Market Volatility with Regime-Switching GARCH Models. Studies in Nonlinear Dynamics & Econometrics. 2005;9(4).
5. Sajjad R, Coakley J, Nankervis J. Markov-Switching GARCH Modelling of Value-at-Risk. Studies in Nonlinear Dynamics & Econometrics. 2008;12(3).
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