This paper addresses the question of the selection of multivariate generalized
autoregressive conditional heteroskedastic (GARCH) models in terms of variance matrix …

An EGARCH model in which the conditional distribution is heavy-tailed and skewed is
proposed. The properties of the model, including unconditional moments, autocorrelations …

Financial asset prices occasionally exhibit large changes. To deal with their occurrence,
observed return series are assumed to consist of a conditionally Gaussian ARMA–GARCH …

An extensive family of univariate models of autoregressive conditional heteroskedasticity is
applied to Peru's daily stock market returns for the period January 3, 1992 to March 30, 2012 …

A topic of recent interest in financial risk management is the predictive accuracy of Value-at-
risk (VaR) models for adequate capitalization under different market conditions (or regimes) …

This study is one of the first to utilize the stochastic volatility (SV) model to modelling the
Peruvian financial times series. We estimate and compare this model with generalized …

Karesi alınmış getirilerin gittikçe azalan otokorelasyonları, şokların uzun dönem bağımlılığı
olduğuna işaret eder. Bununla birlikte, bu durum sahte uzun hafıza olarak nitelendirilen …

An extensive family of univariate models of autoregressive conditional heteroskedasticity is
applied to Peru's daily stock market returns for the period January 3, 1992 to March 30, 2012 …

As crises financeiras ocorridas nas últimas décadas trouxeram novos desafios para as
autoridades monetárias de países desenvolvidos e em desenvolvimento no sentido de …

An extensive family of univariate models of autoregressive conditional heteroskedasticity is
applied to Peru's daily stock market returns for the period January 3, 1992 to March 30, 2012 …