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Intraday risk management in International stock markets: A conditional EVT approach · Study

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ArticleIntraday risk management in International stock markets: A conditional EVT approach

Madhusudan Karmakar2015

Article2015

Intraday risk management in International stock markets: A conditional EVT approach

Madhusudan Karmakar · Samit Paul

22 citations·0/0 files stored·International Review of Financial Analysis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2001An Introduction to Statistical Modeling of Extreme Values 1994Modelling of extremal events in insurance and finance 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1993A long memory property of stock market returns and a new model 1998Evaluating Interval Forecasts

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Year2015

Typearticle

Published2015-11-28

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations22

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.irfa.2015.11.008

openalex_workW2173394772

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