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ArticleTime series analysis for financial market meltdowns

Young Shin Kim2010

Article2010

Time series analysis for financial market meltdowns

Young Shin Kim · Svetlozar T. Rachev · Michele Leonardo Bianchi · Ivan K. Mitov · Frank J. Fabozzi

89 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Stock Market Forecasting Methods Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2000Optimization of conditional value-at-risk 2002Conditional value-at-risk for general loss distributions 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 2002The Fine Structure of Asset Returns: An Empirical Investigation 2001Testing Density Forecasts, With Applications to Risk Management

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2020Research on China's financial systemic risk contagion under jump and heavy-tailed risk 2016Factor decomposition of the Eurozone sovereign CDS spreads 2016Value-at-Risk under Lévy GARCH models: Evidence from global stock markets

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Year2010

Typearticle

Published2010-12-22

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations89

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2010.12.007

openalex_workW2050335451

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