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Heavy-tailed value-at-risk analysis for Malaysian stock exchange · Study

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ArticleHeavy-tailed value-at-risk analysis for Malaysian stock exchange

Unknown author2008

Article2008

Heavy-tailed value-at-risk analysis for Malaysian stock exchange

Unknown author

25 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Probability and Risk Models

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1959Portfolio Selection: Efficient Diversification of Investments 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1992ARCH modeling in finance 1993Measuring and Testing the Impact of News on Volatility 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review

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Year2008

Typearticle

Published2008-01-20

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations25

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2008.01.075

openalex_workW2050174028

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